Hi Roger Thanks for your answer. I tried it with partial success. I got values for tau but I did not manage to evaluate errors or variances of these values.
from help page this shall compute median rq(rnorm(50) ~ 1, ci=FALSE) and I assumed some kind of confidence interval is computed when ci=TRUE, but no avail. In the mean time I have got several other answers which helped me to understand the topic. Thanks again. Regards Petr > -----Original Message----- > From: Roger Koenker [mailto:rkoen...@illinois.edu] > Sent: Tuesday, October 30, 2012 3:42 PM > To: PIKAL Petr > Cc: r-help@r-project.org help > Subject: Re: [R] standard error for quantile > > Petr, > > You can do: > > require(quantreg) > summary(rq(x ~ 1, tau = c(.10,.50,.99)) > > > url: www.econ.uiuc.edu/~roger Roger Koenker > email rkoen...@uiuc.edu Department of Economics > vox: 217-333-4558 University of Illinois > fax: 217-244-6678 Urbana, IL 61801 > > On Oct 30, 2012, at 9:37 AM, Bert Gunter wrote: > > > Petr: > > > > 1. Not an R question. > > > > 2. You want the distribution of order statistics. Search on that. > It's > > basically binomial/beta. > > > > -- Bert > > > > On Tue, Oct 30, 2012 at 6:46 AM, PIKAL Petr <petr.pi...@precheza.cz> > wrote: > >> Dear all > >> > >> I have a question about quantiles standard error, partly practical > >> partly theoretical. I know that > >> > >> x<-rlnorm(100000, log(200), log(2)) > >> quantile(x, c(.10,.5,.99)) > >> > >> computes quantiles but I would like to know if there is any function > >> to find standard error (or any dispersion measure) of these > estimated > >> values. > >> > >> And here is a theoretical one. I feel that when I compute median > from > >> given set of values it will have lower standard error then 0.1 > >> quantile computed from the same set of values. > >> > >> Is it true? If yes can you point me to some reasoning? > >> > >> Thanks for all answers. > >> Regards > >> Petr > >> > >> PS. > >> I found mcmcse package which shall compute the standard error but > >> which I could not make to work probably because I do not have recent > >> R-devel version installed > >> > >> Error in eval(expr, envir, enclos) : > >> could not find function ".getNamespace" > >> Error : unable to load R code in package 'mcmcse' > >> Error: package/namespace load failed for 'mcmcse' > >> > >> Maybe I will also something find in quantreg package, but I did not > >> went through it yet. > >> > >> ______________________________________________ > >> R-help@r-project.org mailing list > >> https://stat.ethz.ch/mailman/listinfo/r-help > >> PLEASE do read the posting guide > >> http://www.R-project.org/posting-guide.html > >> and provide commented, minimal, self-contained, reproducible code. > > > > > > > > -- > > > > Bert Gunter > > Genentech Nonclinical Biostatistics > > > > Internal Contact Info: > > Phone: 467-7374 > > Website: > > http://pharmadevelopment.roche.com/index/pdb/pdb-functional- > groups/pdb > > -biostatistics/pdb-ncb-home.htm > > > > ______________________________________________ > > R-help@r-project.org mailing list > > https://stat.ethz.ch/mailman/listinfo/r-help > > PLEASE do read the posting guide > > http://www.R-project.org/posting-guide.html > > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
