Asymptotic distribution and simultaneous confidence bands for ratios of quantile functions (Q2008615)

In this paper, the authors present an analytical method for calculating simultaneous confidence bands for ratios of quantile function \[ g\left(p \right) = \frac{Q_{2}\left(p \right) }{Q_{1}\left(p \right)} \] for a given \(p \in (0,1)\), where \(X_{1},X_{2}\) are two independent random variables with cumulative distribution function \(F_{1},F_{2}\), respectively. The quantile functions \(Q_{j}\) are defined by \(Q_{j}\left(p \right) = \inf \left\lbrace x:F_{j}\left( x \right) \ge p \right\rbrace, \; j=1,2.\) From the authors' abstract: Inspired by the so-called growth incidence curves introduced in poverty research, we argue that the ratio of quantile functions is a more appropriate and informative tool to compare two distributions. We present an estimator for the ratio of quantile functions and develop corresponding simultaneous confidence bands, which allow to assess significance of certain features of the quantile functions ratio. Derived simultaneous confidence bands rely on the asymptotic distribution of the quantile functions ratio and do not require re-sampling techniques. The performance of the simultaneous confidence bands is demonstrated in simulations. Analysis of expenditure data from Uganda in years 1999, 2002 and 2005 illustrates the relevance of our approach.