A Quantile Estimate Based on Local Curve Fitting

Abstract

Quantile estimation is a problem presented in fields such as quality control, hydrology, and economics. There are different techniques to estimate such quantiles. Nevertheless, these techniques use an overall fit of the sample when the quantiles of interest are usually located in the tails of the distribution. Regression Approach for Quantile Estimation (RAQE) is a method based on regression techniques and the properties of the empirical distribution to address this problem. The method was first presented for the problem of capability analysis. In this paper, a generalization of the method is presented, extended to