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Quantiles are particularly of interest when making credible intervals in Bayesian posterior distributions or making boxplots from Monte Carlo simulations. In this section, we assume that is one‐dimensional (i.e., ). Extensions to are straightforward but notationally involved [10]. For , interest may be in estimating a quantile of . Let be the distribution function of , assumed to be absolutely continuous with a continuous density . The ‐quantile associated with is

Sample statistics are used to estimate . That is, let be the th order statistic of . Then, standard arguments for IID sampling and MCMC [11] show that as .