Ten nonparametric quantile estimators are compared with respect to small-sample performance characteristics including bias and mean squared error. The estimators considered are all linear functions of order statistics with properties that depend on sample size. Graphical presentations are given for the case of a normal parent distribution, and comparisons are made with the minimum variance unbiased estimator for normal sampling.
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Rudolph S. Parrish (1990) studied this question.
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