[R] standard error for quantile

[PIKAL Petr]

Hi Roger

Thanks for your answer. I tried it with partial success. I got values for tau but I did not manage to evaluate errors or variances of these values.

from help page this shall compute median 

rq(rnorm(50) ~ 1, ci=FALSE)

and I assumed some kind of confidence interval is computed when ci=TRUE, but no avail.

In the mean time I have got several other answers which helped me to understand the topic.

Thanks again.

Regards
Petr

> -----Original Message-----
> From: Roger Koenker [mailto:rkoenker at illinois.edu]
> Sent: Tuesday, October 30, 2012 3:42 PM
> To: PIKAL Petr
> Cc: r-help at r-project.org help
> Subject: Re: [R] standard error for quantile
> 
> 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.