[R] [R} Getting 'tilting' confidence intervals in R
Robert A. LaBudde
ral at lcfltd.com
Thu Oct 18 19:11:50 CEST 2007
[Resend with proper subject line]
I am trying to compute bootstrap confidence intervals for a sample
using R 2.5.1 for Windows.
I can get "Normal", "Basic", "Percentile", "BCa" and "ABC" from
boot.ci() and boot() in the Davison & Hinkley "boot" package.
But I can't figure out how to use tilt.boot() to get the "tilting"
confidence interval. Here's a program snippet:
g = rgamma(N,shape=2,scale=3) #Generate a sample of N random deviates
varf = function (x,i) { var(x[i]) }
b = boot(g, varf, R=1000)
boot.ci(b)
fabc = function (x, w) { sum(x^2*w)/sum(w)-(sum(x*w)/sum(w))^2 } #wgt
average (biased) variance
abc.ci(g, fabc) #ABC method confidence interval
bt = tilt.boot(g, varf, R=c(1000,1000,1000))
The bt object doesn't have a confidence interval method or property,
even though alpha=c(.025, .975) is a default parameter in the tilt.boot() call.
This must be simple, but I'm not finding out the answer from the documentation.
Also, use of any other packages to accomplish the tilting interval
would also be useful.
Thanks.
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