[R] standard error for quantile
PIKAL Petr
petr.pikal at precheza.cz
Tue Oct 30 14:46:17 CET 2012
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.
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