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When it comes to estimating quantiles of the given sample, my estimator of choice is the Harrell-Davis quantile estimator (to be more specific, its trimmed version). If I need to get a confidence interval for the obtained quantiles, I use the Maritz-Jarrett method because it provides a decent coverage percentage. Both approaches work pretty nicely together. However, in the original paper by Harrell and Davis (1982), the authors suggest using the jackknife variance estimator in order to get the c...