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Topic: How to calculate quantiles
Replies: 4   Last Post: Jan 4, 2013 9:29 AM

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Posts: 58
Registered: 12/7/12
Re: How to calculate quantiles
Posted: Jan 4, 2013 9:29 AM
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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
p-values 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.


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