Abstract
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.
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Maesono, Y., Penev, S. Improved confidence intervals for quantiles. Ann Inst Stat Math 65, 167–189 (2013). https://doi.org/10.1007/s10463-012-0369-6
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DOI: https://doi.org/10.1007/s10463-012-0369-6