[R] standard error for quantile

[Roger Koenker]

Petr,

You can  do:

require(quantreg)
summary(rq(x ~ 1, tau = c(.10,.50,.99))


url:    www.econ.uiuc.edu/~roger            Roger Koenker
email    rkoenker at 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.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.
>> 
>> ______________________________________________
>> R-help at 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 at 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.