
On Mar 20, 2011, at 10:24 PM, Man Zhang wrote:

> Dear All,
> 
> I'm trying to construct confidence interval for an additive quantile regression 
> model.
> 
> In the quantreg package, vignettes section: Additive Models for Conditional 
> Quantiles
> http://cran.r-project.org/web/packages/quantreg/index.html
> 
> It describes how to construct the intervals, it gives the covariance matrix for 
> the full set of parameters, \theta is given by the sandwich formula
> V = \tau (1-\tau) (t(X) \phi X)^(-1) (t(X) X)^(-1) (t(X) \phi X)^(-1)
> but gives no derivation of this result. 
> 
> Does anyone know how to obtain the above results? I need to construct these 
> intervals with several adjustments, so I need to understand how "V" is 
> constructed. Any proofs?

As the author of the aforementioned vignette I suppose that I am meant to feel
chastised by this request.  I do not.  There is a reasonable expectation in
mathematics and most other fields that readers have some responsibility
to familiarize themselves with the related literature, especially that cited in
the work that they are currently reading.

There seems to be a growing, deplorable expectation that learning a new subject is
like being spoon fed some sort of pablum -- it isn't, sometimes you need to
chew.

I would remind would be R-posters of the admonition of Edward Davenant
(quoted by Patrick Billingsley in his magisterial P&M)

	I would have a man knockt on the head that should write anything in 
	Mathematiques that had been written of before. 



> 
> Thanks, any help is greatly appreciated
> Man Zhang
> 
> 
> 
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> 
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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.


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