Estimators of percentiles based on absolute loss
Jerome P. Keating · Communication in Statistics- Theory and Methods · 1983
Estimators of percentiles of location and scale parameter distributions are optimized based on Pitman closeness and absolute risk. A median unbiased (MU) estimator and a minimum risk (MR) estimator are shown to exist within a class of estimators, and to depend upon the medians of two completely specified distributions.