On 1 Dec 2003 14:05:36 -0800, [EMAIL PROTECTED] (Mike) wrote: > Greetings all, > > I'd like to estimate the 95th percentile of a distribution p(X) by > making N independent measurements of X. I'm assuming that the 95th > percentile of measurements is the best estimate of the 95th percentile > for the distribution. > > Is this halfway reasonable? > Do I need to make strong assummptions about the shape of p(X)? > How would I arrive at the s.d. of the estimate, or some other > indicator of quality?
I think that the references will tell you that one simple description is in terms of the other rank (percentile) statistics. That will be pretty efficient so long as there are not ties. Ties give you bad variance estimates if you are working for approximations. I think ties can give you pathological cases when you are trying for some other generalities. What 'strong assumptions' were you contemplating? -- Rich Ulrich, [EMAIL PROTECTED] http://www.pitt.edu/~wpilib/index.html "Taxes are the price we pay for civilization." . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
