Distribution-Free Interval Estimation of the Largest Alpha-Quantile
STANFORD UNIV CA DEPT OF STATISTICS
Pagination or Media Count:
A procedure based on order statistics is given for the interval estimation of the largest alpha-quantile of several continuous distributions. Results on infimum of coverage probability are obtained for one-sided and two- sided intervals. An optimality criterion is proposed and an algorithm is given for two-sided intervals. Large sample approximations are also considered.
- Statistics and Probability