Preprint announcement: 'Trimmed Harrell-Davis quantile estimator based on the highest density interval of the given width'

Update: the final paper was published in Communications in Statistics - Simulation and Computation (DOI: 10.1080/03610918.2022.2050396).

Since the beginning of this year, I have been working on building a quantile estimator that provides an optimal trade-off between statistical efficiency and robustness. Finally, I have built such an estimator. A paper preprint is available on arXiv: arXiv:2111.11776 [stat.ME]. The paper source code is available on GitHub: AndreyAkinshin/paper-thdqe. You can cite it as follows:

Andrey Akinshin (2021) Trimmed Harrell-Davis quantile estimator based on the highest density interval of the given width, arXiv:2111.11776

Relevant blog posts

Here is the full list of relevant blog posts:

BibTeX reference

@article{akinshin2021thdqe,
  title={Trimmed Harrell-Davis quantile estimator based on the highest density interval of the given width},
  author={Andrey Akinshin},
  year={2021},
  eprint={2111.11776},
  archivePrefix={arXiv},
  primaryClass={stat.ME},
  url={https://arxiv.org/abs/2111.11776}
}