Estimation of quantiles with the exact bootstrap method

Abstract

A problem with the estimation of quantiles occurs when the sample comes from an unknown distribution. The estimation uses the bootstrap method in the version that the literature refers to as exact. Three bootstrap estimators were used: two of them based on one order statistic, and the third on a linear combination of two order statistics (for an integer). The distribution of the exact bootstrap estimator based on a single order statistic is known. It has been shown that there is no general form of the distribution of the exact bootstrap estimator based on two order statistics. However, it is possible to calculate such a distribution – the article presents the algorithm that performs such a task. The bootstrap confidence intervals were constructed using the exact percentile method. It has been shown that if the estimator is based on a single order statistic, it is known in advance which elements of the primary sample are the limits of the confidence intervals, so there is no need to resample. The intervals determined by the exact percentile method were compared with those constructed using other methods. It has been shown that the information on the direction of the asymmetry of the distribution that the sample comes from is worth considering when selecting the rank of the order statistic used as an estimator. Attention is paid to the influence of the quality of the pseudorandom number generators on the results of the Monte Carlo simulation.