Improved distribution quantile estimation
作者:
Russell F. Kappenman,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1987)
卷期:
Volume 16,
issue 2
页码: 307-320
ISSN:0361-0918
年代: 1987
DOI:10.1080/03610918708812592
出版商: Marcel Dekker, Inc.
关键词: distribution-free estimation;percentiles;kernel quantile estimation;simulation
数据来源: Taylor
摘要:
A technique for estimating the quantiles or percentiles of a distribution is developed. The parametric form of the distribution is assumed unknown. The estimation procedure is based on a kernel estimator of a probability density function and on aquantile estimator suggested by Harrell and Davis (1982). Simulation studies show that estimation of quantiles in moderately heavyto heavy tails of a distribution is substantially improved by use of the technique.
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