Defining sample quantiles by the true rank probability

DOI10.1155/2014/326579MaRDI QIDQ1667370zbMATH OpenOpenAlexWikidataFDO

Authors Lasse Makkonen, Matti Pajari

Publication date 28 August 2018

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/326579

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Order statistics; empirical distribution functions (62G30)

Review text

Summary: Many definitions exist for sample quantiles and are included in statistical software. The need to adopt a standard definition of sample quantiles has been recognized and different definitions have been compared in terms of satisfying some desirable properties, but no consensus has been found. We outline here that comparisons of the sample quantile definitions are irrelevant because the probabilities associated with order-ranked sample values are known exactly. Accordingly, the standard definition for sample quantiles should be based on the true rank probabilities. We show that this allows more accurate inference of the tails of the distribution, and thus improves estimation of the probability of extreme events.

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Cites work

• A distribution free plotting position
• Bringing Closure to the Plotting Position Controversy
• scientific article; zbMATH DE number 3141621 (Why is no real title available?)
• scientific article; zbMATH DE number 3141622 (Why is no real title available?)
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Cited in

(5)

• Probabilistic evaluation of quantile estimators
• Nonparametric estimation of quantile versions of the Lorenz curve
• Quantile estimation via distribution fitting
• Nonparametric estimators of inequality curves and inequality measures
• Nonparametric estimation of quantile versions of the Bonferroni curve

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