[R] standard error for quantile

[Bert Gunter]

 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.pikal at 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.
>
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-- 

Bert Gunter
Genentech Nonclinical Biostatistics

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