[R] Confidence Bounds on QQ Plots?

Spencer Graves spencer.graves at pdf.com
Tue Jun 1 20:36:27 CEST 2004


      What's the current best wisdom on how to construct confidence 
bounds on something like a normal probability plot? 

      I recall having read a suggestion to Monte Carlo something like 
201 simulated lines with the same number of points, then sort the order 
statistics, and plot the 6th and 196th of these.  [I use 201 not 200 
because quantile(1:201, c(0.025, 0.975)) = 6 and 196 while 
quantile(1:200, c(0.025, 0.975)) = 5.975 and 11.025.]  I think I know 
how to do this, but before I code it, I'd like to ask two questions on 
this issue: 

      1.  Where can I find this in the literature?  I didn't find it 
where I thought it was, nor in anyplace else that seemed obvious to me, 
but I don't think I made it up and I'd like to give credit where credit 
it due. 

      2.  Are there better alternatives available, especially if the 
distribution is a compound mixture that is easily simulated but not so 
easily characterized analytically? 

      Thanks,
      spencer graves




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