Wilks [6] introduced distribution-free confidence intervals based on order statistics for quantile intervals. For the rth and sth order statistics in a sample of size n (1 ≤ r < s ≤ n), upper and lower bounds and an exact expression for the confidence coefficient are derived. Numerical examples comparing the bounds and the exact solution are provided. A connection with distribution-free tolerance intervals is indicated.
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Daniel Krewski (1976) studied this question.
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