Confidence and Assurance of Percentiles

Abstract

Confidence interval of mean is often used when quoting statistics. The same rigor is often missing when quoting percentiles and tolerance or percentile intervals. This article derives the expression for confidence in percentiles of a sample population. Confidence intervals of median is compared to those of mean for a few sample distributions. The concept of assurance from reliability engineering is then extended to percentiles. The assurance level of sorted samples simply matches the confidence and percentile levels. Numerical method to compute assurance using Brent's optimization method is provided as an open-source python package.