Best exact nonparametric confidence intervals for quantiles

@inproceedings{Zielinski2005BestEN,
  title={Best exact nonparametric confidence intervals for quantiles},
  author={Ryszard Zielinski and Wojciech Bartłomiej Zieliński},
  year={2005}
}
Well known nonparametric confidence intervals for quantiles are of the form (Xi:n,Xj:n) with suitably chosen order statistics Xi:n and Xj:n, but typically their coverage levels differ from those prescribed. It appears that the coverage level of the confidence interval of the form (XI:n, XJ:n) with random indices I and J can be rendered equal exactly to any predetermined level γ ∈ (0, 1). Best in the sense of minimum E(J − I), i.e. “the shortest”, two-sided confidence intervals are constructed… CONTINUE READING