Perhaps the following articles concerning quantile estimation
may be interesting to you.
The first one treats dependent random variables.
The second paper is dealing with independent but not identically
distributed random variables.

\item[] {\rm Sen, P.K.} (1968).
Asymptotic normality of sample quantiles for $m$-dependent processes.
{\em Ann. Math. Statist.}, {\bf 39}, 1724-1730.

\item[] {\rm Sen, P.K.} (1970).
A note on order statistics for heterogeneous distributions.
{\em Ann. Math. Statist.}, {\bf 41}, 2137-2139.

Andreas Christmann
=======================================
PD Dr. Andreas Christmann
Universitaet Dortmund
Hochschulrechenzentrum
Wissenschaftliche Anwendungen
D-44221 Dortmund
GERMANY
email  A.Christmann@hrz.uni-dortmund.de
phone  (049)-231-755-2763
fax    (049)-231-755-2731
=======================================


---------------------------------------------------------------------
This message was distributed by s-news@lists.biostat.wustl.edu.  To
unsubscribe send e-mail to s-news-request@lists.biostat.wustl.edu with
the BODY of the message:  unsubscribe s-news