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Trimmed Harrell-Davis quantile estimator based on the highest density interval of the given width.
- Source :
-
Communications in Statistics: Simulation & Computation . 2024, Vol. 53 Issue 3, p1565-1575. 11p. - Publication Year :
- 2024
-
Abstract
- Traditional quantile estimators that are based on one or two order statistics are a common way to estimate distribution quantiles based on the given samples. These estimators are robust, but their statistical efficiency is not always good enough. A more efficient alternative is the Harrell-Davis quantile estimator which uses a weighted sum of all order statistics. Whereas this approach provides more accurate estimations for the light-tailed distributions, it's not robust. To be able to customize the tradeoff between statistical efficiency and robustness, we could consider a trimmed modification of the Harrell-Davis quantile estimator. In this approach, we discard order statistics with low weights according to the highest density interval of the beta distribution. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03610918
- Volume :
- 53
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Simulation & Computation
- Publication Type :
- Academic Journal
- Accession number :
- 175722466
- Full Text :
- https://doi.org/10.1080/03610918.2022.2050396