Scatter factor confidence interval estimate of least square maximum entropy quantile function for small samples

摘要

Classic maximum entropy quantile function method (CMEQFM) based on the probabil-ity weighted moments (PWMs) can accurately estimate the quantile function of random variable on small samples, but inaccurately on the very small samples. To overcome this weakness, least square maximum entropy quantile function method (LSMEQFM) and that with constraint condition (LSMEQFMCC) are proposed. To improve the confidence level of quantile function estimation, scatter factor method is combined with maximum entropy method to estimate the confidence inter-val of quantile function. From the comparisons of these methods about two common probability distributions and one engineering application, it is showed that CMEQFM can estimate the quan-tile function accurately on the small samples but inaccurately on the very small samples (10 sam-ples); LSMEQFM and LSMEQFMCC can be successfully applied to the very small samples;with consideration of the constraint condition on quantile function, LSMEQFMCC is more stable and computationally accurate than LSMEQFM; scatter factor confidence interval estimation method based on LSMEQFM or LSMEQFMCC has good estimation accuracy on the confidence interval of quantile function, and that based on LSMEQFMCC is the most stable and accurate method on the very small samples (10 samples).