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Coverage probabilities of bootstrap-confidence intervals for quantiles. (English) Zbl 0725.62043

Summary: An asymptotic expansion of length 2 is established for the coverage probabilities of confidence intervals for the underlying q-quantile which are derived by bootstrapping the sample q-quantile. The corresponding level error turns out to be of order \(O(n^{-1/2})\) which is unexpectedly low.
A confidence interval of even more practical use is derived by using backward critical points. The resulting confidence interval is of the same length as the one derived by ordinary bootstrap but it is distribution free and has higher coverage probability.

MSC:

62G15 Nonparametric tolerance and confidence regions
62G09 Nonparametric statistical resampling methods
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