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A level crossing quantile estimation method. (English) Zbl 0951.62026

Summary: We introduce a nonparametric quantile estimation method by applying a level crossing empirical function which will be defined in this paper, and also introduce a computational method for the new estimator. A comparison of the new quantile estimation method with the usual kernel quantile estimation method based on the classical empirical distribution function is included. Computational results show that the new method is more efficient than the usual method in many cases.

MSC:

62G05 Nonparametric estimation
62G30 Order statistics; empirical distribution functions
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