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A probability provides a quantitative description of the likely occurrence of a particular event.
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Estimating High Confidence Upper Bound for Quantile of Unknown Distribution
If we choose $n$ such that this probability is smaller than our $\epsilon$, we can pick the maximum value in our sample as high-confidence upper bound for the quantile:
\begin{align}
(1-\alpha)^n < \epsilon …
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Estimating High Confidence Upper Bound for Quantile of Unknown Distribution
I am given a random variable $X$ over $\mathbb R$ with an unknown distribution.
I want to determine the smallest sample size $n$ needed to obtain a high confidence upper bound $\hat Q_{1-\alpha}$ for …