Quantile estimation via distribution fitting
Volume 46 / 2019
Applicationes Mathematicae 46 (2019), 283-301
MSC: Primary 62G05; Secondary 62G30.
DOI: 10.4064/am2384-3-2019
Published online: 23 July 2019
Abstract
This paper focuses on nonparametric estimation of quantiles, based on estimators of the distribution function. We review some known and recommended quantile estimators and propose a new one, which has all the desired properties of quantile estimators. The consistency and asymptotic normality of the estimators is proved. The estimators considered are compared in a small simulation study.
