We investigated the uncertainty in patient set-up margin analysis with a small dataset consisting of a limited number of clinical cases over a short time period, and propose a method for determining the optimum set-up margin. Patient set-up errors from 555 registration images of 15 patients with prostate cancer were tested for normality using a quantile-quantile (Q-Q) plot and a Kolmogorov-Smirnov test with the hypothesis that the data were not normally distributed. The ranges of set-up errors include the set-up errors within the 95% interval of the entire patient data histogram, and their equivalent normal distributions were compared. The patient set-up error was not normally distributed. When the patient set-up error distribution was assumed to have a normal distribution, an underestimate of the actual set-up error occurred in some patients but an overestimate occurred in others. When using a limited dataset for patient set-up errors, which consists of only a small number of the cases over a short period of time in a clinical practice, the 2.5% and 97.5% intervals of the actual patient data histogram from the percentile method should be used for estimating the set-up margin. Since set-up error data is usually not normally distributed, these intervals should provide a more accurate estimate of set-up margin. In this way, the uncertainty in patient set-up margin analysis in radiation therapy can be reduced.