Defining Sample Quantiles by the True Rank Probability. (8th December 2014)

• Record Type: Journal Article
• Authors: Makkonen, Lasse; Pajari, Matti
• Other Names: Bai Z. D. Academic Editor.
• Is Part Of: Journal of probability and statistics. Volume 2014(2014)
• Publication Date: 2014-12-08
• Subjects: Probabilities -- Periodicals; Mathematical statistics -- Periodicals; Mathematical statistics; Probabilities; Periodicals; 519
• DOI: 10.1155/2014/326579
• Languages: English
• ISSNs: 1687-952X

Abstract

Abstract : Many definitions exist for sample quantiles and are included in statistical software. The need to adopt a standard definition of sample quantiles has been recognized and different definitions have been compared in terms of satisfying some desirable properties, but no consensus has been found. We outline here that comparisons of the sample quantile definitions are irrelevant because the probabilities associated with order-ranked sample values are known exactly. Accordingly, the standard definition for sample quantiles should be based on the true rank probabilities. We show that this allows more accurate inference of the tails of the distribution, and thus improves estimation of the probability of extreme events.