[R] standard error for quantile

[Roger Koenker]

The rank test inversion option that you are trying to use won't
work with only one coefficient, and therefore with univariate
quantiles,  if you use summary(rq(rnorm(50) ~ 1, tau = .9), cov = TRUE)
you will have better luck.

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 9:42 AM, Koenker, Roger W wrote:

> 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.
> 
> ______________________________________________
> 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.