CONFIDENCE INTERVALS FOR THE QUANTILE OF THE QUADRATIC-NORMAL DISTRIBUTION

Suppose we have a random sample from a non-normal distribution known as the quadratic-normal distribution. We construct 100(1-α) % confidence intervals for the -quantile of the quadratic-normal distribution using the procedures based on bootstrap, normal approximation and hypothesis testing. It is found that the coverage probability of the confidence interval based on the hypothesis testing tends to be closer to the target value than those of the bootstrap confidence interval and the confidence interval based on normal approximation