I am trying to provide an interval estimate for the 0.8-quantile of some numeric data, which is assumed to be an IID sample from some unknown, continuous distribution. I constructed an Empirical CDF for my data (black line in the image below). I used the information contained in this Wikipedia article and this review to construct point-wise 95% confidence intervals for the true CDF at many values of x. (These intervals show up as the red lines in the image below. Note that I did NOT find simultaneous confidence bands.)

Estimation of the True CDF

How do you turn bounds on the CDF into bounds on quantiles? I found where the bounds on the CDF reach 0.8. Can I take the x-values of these intersections as bounds for a 95% confidence interval on the 0.8-quantile? In other words, is [28 000, 36 000] a valid 95% CI for the 0.8-quantile? Is it valid to invert the bounds on the CDF in this manner in order to obtain a confidence interval for a quantile?

EDIT: @BruceET The green lines show the method @BruceET used in his answer. Estimation of the True CDF

Using @BruceET's method, the CI for the 0.8-quantile would be [28 500, 36 500]. I think that my approach in the blue lines finds one-sided confidence intervals at different values of x and then pieces those together to find a two-sided CI for the 0.8-quantile. @BruceET's method seems more straightforward. Would one be preferred to the other? More importantly for the purposes of this post, what makes it valid to transform a CI for the CDF into a CI for the p-quantile of the population?

  • $\begingroup$ Sorry, I supposed that you had read and understood the links provided, so I answered briefly on that bases. Original answer withdrawn. See new Answer. $\endgroup$ – BruceET Oct 2 '20 at 19:17

Data. Because I do not have your dataset at hand, I will use a sample of size $100$ from $\mathsf{Norm}(\mu = 50, \sigma = 5),$ which has 80th percentile 54.21, as an example. Sampling in R:

x = rnorm(100, 50, 5)
quantile(x, .8)
qnorm(.8, 50, 5)
[1] 54.20811

The 80th quantile $54.62$ of the sample of size 100 is close to the 80th percentile of the population. If we did not know the population percentile, the question would be how to find a 95% CI for the population percentile based on the sample.

Binomial method. Roughly speaking, I believe the method shown in the figure of your question is to find a 95% CI for the true proportion $p$ of population values below 54.21. A Wald CI gives $(0.72, 0.88).$ [Various styles of binomial CIs are possible.]

pm = c(-1,1)
ci.p = .8 + pm*1.96*sqrt(.8*.2/100);  ci.p
[1] 0.7216 0.8784

The find the sample values with quantiles 0.72 and 0.88:

quantile(x, ci.p)
  72.16%   87.84% 
53.21117 56.21680 

So that a 95% CI for the 80th percentile of the population is $(53.21, 56.22).$ [Because we know the true 80th population percentile to be 54.21, we know that this CI covers the true value.]

Bootstrap method. Another method is to use a bootstrap. By taking $B = 5000$ 're-samples' from the 100 observations, we can find their 80th percentiles ad use them to make a CI for the population value. [A 're-sample' is a sample of size $n=100$ taken with replacement from the sample x.]

q.8 = replicate(5000, quantile(sample(x,100,rep=T),.8))
[1] 54.56447
quantile(q.8, c(.025,.975))
2.5%    97.5% 
53.03377 56.03073 

The average of these bootstrapped 80th re-sample percentiles is 54.56 and the middle 95% of them span an 95% bootstrap CI $(53.0, 56.0).$ Various styles of bootstraps are possible. The CI obtained here is not much different from the CI $(53.21, 56.22),$ obtained using the binomial method above.

Addendum: With the same 100 observations x as above, I might have guessed that the data are nearly normal. Looking at a normal probability plot (normal Q-Q plot), not show, points fall nearly along a straight line. A Shapiro-Wilk test finds the data are consistent with normal. So a parametric bootstrat might use re-samples repeatedly to estimate $\mu$ and $\sigma$ and then find the 80th percentile of a normal distribution with those estimated parameters. The R code below assumes data x are already available in R. Thus a 95% parametric bootstrap CI for the 90th percentile of the population is $(53.95, 56.50),$ not much different from CIs found by other methods.

B = 5000;  q.80 = numeric(B)
for (i in 1:B) {
  x.re = sample(x, 100, rep=T)
  q.80[i] = qnorm(.8, mean(x.re), sd(x.re)) }
quantile(q.80, c(.025, .975))
    2.5%    97.5% 
53.95346 56.50207 
  • $\begingroup$ This gives me convincing evidence that bounds on the CDF can be inverted to give bounds on a population quantile in the specific case of the normal distribution used in your answer. However, how do we know that this works in general? It's the 2-dimensional aspect of the problem that is really throwing me for a loop. I was thinking of something more in the vein of this question. That post may actually answer my question here. $\endgroup$ – Escherichia Oct 2 '20 at 20:10
  • $\begingroup$ Oh, I also just realized that I did it a different way from you. I'll provide a modified picture of what I think you are doing. $\endgroup$ – Escherichia Oct 2 '20 at 20:19
  • $\begingroup$ Yes, what method is best may depend on the population distribution. That is why your second link is longer than my answer. // Maybe start by really trying to understand that link. // If you have a particular non-normal population distribution in mind, check several appropriate samples to see how the 'binomial' method works. For samples of small and moderate size intervals will tend to be longer and differ more from method to method. $\endgroup$ – BruceET Oct 3 '20 at 0:12
  • $\begingroup$ I don't think we're on the same page. It's not a matter of what method to use to construct a binomial CI for the CDF, but more a matter of how a CI for the CDF can be turned into a CI for a quantile. $\endgroup$ – Escherichia Oct 3 '20 at 1:20
  • $\begingroup$ Choices for binomial CI are give various answers, see Wikipedia pg on binomial CIs. Then (as in your 2nd link) there are various choices for CI for quantile there. As far as I know there is no one generally recognized 'best' procedure for all situations. Medians are much more often estimated that 80th percentiles. In an addendum, I have shown a third method, assuming normal data and using a parametric bootstrap procedure. // I have shown 3 methods to get CIs, all of which may be useful in some circumstances. If you insist I show any is "best." that is a game I can win only by not playing. $\endgroup$ – BruceET Oct 3 '20 at 6:00

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