We derive the Edgeworth expansion for the studentized version of the kernel quantile estimator. Inverting the expansion allows us to get very accurate confidence intervals for the pth quantile under general conditions. The results are applicable in practice to improve inference for quantiles when sample sizes are moderate.
|Number of pages||23|
|Journal||Annals of the Institute of Statistical Mathematics|
|Publication status||Published - Feb 2013|
All Science Journal Classification (ASJC) codes
- Statistics and Probability