Nth quantile error


Is there any direct method to calculate the error of the nth quantile, such as Maritz-Jarrett method e.g.?

Many thanks in advance.

Welcome to the ROOT Forum! Maybe @moneta knows?

We don’t have such a direct method in ROOT to estimate the confidence intervals of the quantiles.
There is probably something in R that you can use via the ROOT R interface.
See ROOT: ROOT::R::TRInterface Class Reference or here.
Otherwise what you can do in ROOT is estimating the uncertainties or confidence intervals using the simulation, by regenerating your data and looking at the distribution of your obtained quantiles.

Best regards


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