Re: percentiles estimation

The estimation depends on the data.

If the data set is quite nice, say has a shape of known distribution,
using parametric method to estimate the distribution and calculating
the quantile of the fitted distribution would be better.

Or use smooth method like kernel estimate to smooth the data histogram.

The fast and dirty way is just use the quantile of the histogram as the
estimation.

Michel PETITJEAN wrote:
sci.stat.math
Subj: percentiles estimation

Having an empirical distribution x1,...,xn, and the order statistics
X1,...,Xn with, say, n=1000, which is the best estimator of
the percentile 90%:
X900, X901, (X900+X901)/2, or something else ?
Any reference will be appreciated.

Thank you very much.

Michel Petitjean, Email: petitjean@xxxxxxxxxxxxxxxxx
ITODYS (CNRS, UMR 7086) ptitjean@xxxxxxxxxxxxxx
1 rue Guy de la Brosse Phone: +33 (0)1 44 27 48 57
75005 Paris, France. FAX : +33 (0)1 44 27 68 14
http://petitjeanmichel.free.fr/itoweb.petitjean.skewness.html

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