A New Family of Nonparametric Quantile Estimators

DOI10.1080/03610910701790491zbMATH Open1132.62018OpenAlexW2033046771MaRDI QIDQ5451144FDOQ5451144

Authors: Michael Sfakianakis, Dimitris G. Verginis 

Publication date: 18 March 2008

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910701790491

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zbMATH Keywords

nonparametricquantilespercentilesorder statisticsestimators

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Monte Carlo methods (65C05) Order statistics; empirical distribution functions (62G30)

Cites Work

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• A new distribution-free quantile estimator
• Deficiency of the sample quantile estimator with respect to kernel quantile estimators for censored data
• Kernel Quantile Estimators
• Nonparametric Statistical Data Modeling
• Order Statistics
• Relative deficiency of kernel type estimators of quantiles
• A Smooth Nonparametric Estimator of a Quantile Function
• A generalized quantile estimator
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• The Exact Bootstrap Mean and Variance of an L-estimator
• Estimation of quantiles in certain nonparametric models
• Tables of Expected Values of Order Statistics and Products of Order Statistics for Samples of Size Twenty and Less from the Normal Distribution
• VaR is subject to a significant positive bias
• Comparison of Quantile Estimators in Normal Sampling

Cited In (12)

• Trimmed Harrell-Davis quantile estimator based on the highest density interval of the given width
• Quantile estimation and comparing two independent groups with an approach based on percentile bootstrap
• Sequential design and spatial modeling for portfolio tail risk measurement
• On a distribution-free quantile estimator.
• Comparing two independent groups via the lower and upper quantiles
• A comparison of quantile estimators
• Comparing two dependent groups via quantiles
• Within groups analysis of covariance: multiple comparisons at specified design points using a robust measure location when there is curvature
• A novel approach for parameter estimation of mixture of two Weibull distributions in failure data modeling
• Modeling long term return distribution and nonparametric market risk estimation
• Robustness measures and numerical approximation of the cumulative density function of response surfaces
• A new quantile estimator with weights based on a subsampling approach

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