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Thursday, July 6 • 6:20pm - 6:25pm
Better Confidence Intervals for Quantiles

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Keywords: Coverage, Comparing R packages, Uncertainty, Bootstrap
Webpages: http://www.math.su.se/~hoehle
Inspired by the work of Höhle and Höhle (2009) concerned with the assessment of accuracy for digital elevation models in photogrammetry, we discuss the computation of confidence intervals for the median or any other quantile in R. In particular we are interested in the interpolated order statistic approach suggested by Hettmansperger and Sheather (1986) and generalized in Nyblom (1992). In order to make the methods available to a greater audience we provide an implementation of these methods in the R package quantileCI and conduct a small simulation study to show that these intervals indeed have a very good coverage. The study also shows that these intervals perform better than the currently available approaches in R. We therefore propose that these intervals should be used more in the future!
Details on the work can be found in the presenter’s blog entitled Theory meets practice available at http://www.math.su.se/~hoehle/blog.
References Hettmansperger, T. P., and S. J Sheather. 1986. “Confidence Intervals Based on Interpolated Order Statistics.” Statistics and Probability Letters 4: 75–79. doi:10.1016/0167-7152(86)90021-0.

Höhle, J., and M. Höhle. 2009. “Accuracy Assessment of Digital Elevation Models by Means of Robust Statistical Methods.” ISPRS Journal of Photogrammetry and Remote Sensing 64 (4): 398–406. doi:10.1016/j.isprsjprs.2009.02.003.

Nyblom, J. 1992. “Note on Interpolated Order Statistics.” Statistics and Probability Letters 14: 129–31. doi:10.1016/0167-7152(92)90076-H.

avatar for Michael Höhle

Michael Höhle

Stockholm University

Thursday July 6, 2017 6:20pm - 6:25pm CEST
2.01 Wild Gallery