Journal de biométrie et biostatistique

Nonparametric Estimation of Quantile and Quantile Density Function

Abstract

Yang X, Hutson AD and Wang D

In this article, we derive a new and unique method of estimating quantile and quantile density function, which is based on moments of fractional order statistics. A comparison of the proposed estimators is made with existing popular nonparametric quantile and quantile density estimators, in terms of mean squared error (MSE) for censored and uncensored data. Recommendations for the choice of quantile and/or quantile density estimators are given.