Numerical Algorithms Group Manual Mark 7

We consider the estimation of the 90 and 95 percentiles of a normal distribution and also the construction of one-sided 90% and 95% -normal ranges. Three methods are proposed -the sample percentile method, and two based on kernel estimates of the density function using Fryer's method and the leaving-one-out method for choosing a smoothing parameter.

A simulation study compares the methods in terms of bias, variance and mean square error of the population percentile estimates and of the eovers of the consequent normal ranges.