A New Family of Nonparametric Quantile Estimators |
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Authors: | Michael E Sfakianakis Dimitris G Verginis |
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Institution: | 1. Department of Business Administration , University of Piraeus , Piraeus, Greece msfakian@unipi.gr;3. Department of Business Administration , University of Piraeus , Piraeus, Greece |
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Abstract: | A new core methodology for creating nonparametric L-quantile estimators is introduced and three new quantile L-estimators (SV1 p , SV2 p , and SV3 p ) are constructed using the new methodology. Monte Carlo simulation was used in order to investigate the performance of the new estimators for small and large samples under normal distribution and a variety of light and heavy-tailed symmetric and asymmetric distributions. The new estimators outperform, in most of the cases studied, the Harrell–Davis quantile estimator and the weighted average at X (np]) quantile estimator. |
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Keywords: | Estimators Nonparametric Order statistics Percentiles Quantiles |
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