Using Kish's effective sample size with weighted quantiles

1 · Andrey Akinshin · July 6, 2021, 5:44 p.m.
In my previous posts, I described how to calculate weighted quantiles and their confidence intervals using the Harrell-Davis quantile estimator. This powerful technique allows applying quantile exponential smoothing and dispersion exponential smoothing for time series in order to get its moving properties. When we work with weighted samples, we need a way to calculate the effective samples size. Previously, I used the sum of all weights normalized by the maximum weight. In most cases, it worked ...