The rank test inversion option that you are trying to use won't work with only one coefficient, and therefore with univariate quantiles, if you use summary(rq(rnorm(50) ~ 1, tau = .9), cov = TRUE) you will have better luck.
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 9:42 AM, Koenker, Roger W wrote: > 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. ______________________________________________ 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.
