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A note on Woodruff confidence intervals for quantiles

Author

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  • Sitter, Randy R.
  • Wu, Changbao

Abstract

Woodruff (1952) proposed a simple confidence interval for quantiles in complex surveys based upon inverting the usual confidence intervals for the distribution function. In the moderate to extreme tail regions of the distribution function the usual confidence interval performs poorly for moderate sample size. In this paper we demonstrate that despite this fact, the Woodruff intervals based upon inverting these badly behaved intervals perform very well. We go on to explain this rather surprising fact.

Suggested Citation

  • Sitter, Randy R. & Wu, Changbao, 2001. "A note on Woodruff confidence intervals for quantiles," Statistics & Probability Letters, Elsevier, vol. 52(4), pages 353-358, May.
    • Handle: RePEc:eee:stapro:v:52:y:2001:i:4:p:353-358
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    Cited by:

    1. R. Azencott & A. Beri & Y. Gadhyan & N. Joseph & C.-A. Lehalle & M. Rowley, 2014. "Real-time market microstructure analysis: online transaction cost analysis," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1167-1185, July.
    2. M. Rueda & A. Arcos & I. Sánchez-Borrego & J. Muñoz, 2012. "An approximation method to derive confidence intervals for quantiles with some applications," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(4), pages 1197-1208, June.
    3. Omer Ozturk & Narayanaswamy Balakrishnan & Olena Kravchuk, 2023. "Order Statistics Based on a Combined Simple Random Sample from a Finite Population and Applications to Inference," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 77-101, February.
    4. Pier Luigi Conti & Daniela Marella, 2015. "Inference for Quantiles of a Finite Population: Asymptotic versus Resampling Results," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(2), pages 545-561, June.

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