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Re: How to calculate quantiles
Posted:
Jan 4, 2013 9:29 AM


On 04/01/2013 14:23, gus gassmann wrote: > If you only have 10^4 samples, then any estimate of the 10^(7) quantile > is going to have pretty serious estimation error attached to it. Even if > you have 10^7 samples, the 10^(7) quantile is determined by a single > observation. I would not put too much stock into that estimate.
I think the same. That is the reason for which I'm asking here. :)
> More to the point, one is tempted to ask *why* you need this tail quantiles.
I need a version of the AD test which returns uniformly distributed pvalues in the widest possible range.
> What kind of precision do you require?
Precision is a word I wouldn't use, because I calculate the confidence interval for the critical values of the AD statistic. I'm using a confidence interval of +/5*10^5 at 99% confidence level.
Cristiano



