Correct Confidence Intervals for Quantiles

In this post, I overview the optimal non-parametric approach to quantile confidence intervals. We will discuss the theoretical background as well as an efficient algorithm implemented in Python. Consider an ordered iid sample from a distribution , and let be the -th quantile, that is . Using our samples we want to build a possibly …

On Importance of Log-Normality in Hypothesis Testing

Normality of data is important in statistics, so it is not a surprise that transforming data to look closer to a normal distribution can be beneficial in many ways. There are ways of finding the right transform, such as the popular Box-Cox method ​1,2​. In this post, I will share an elegant example on how …