tQuantileStandardError {Dowd}

Standard error of t quantile estimate

Description

Estimates standard error of t quantile estimate

Usage

tQuantileStandardError(prob, n, mu, sigma, df, bin.size)

Arguments

prob

Tail probability. Can be a vector or scalar

n

Sample size

mu

Mean of the normal distribution

sigma

Standard deviation of the distribution

df

Number of degrees of freedom

bin.size

Bin size. It is optional parameter with default value 1

Value

Vector or scalar depending on whether the probability is a vector or scalar

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# Estimates standard error of normal quantile estimate
   tQuantileStandardError(.8, 100, 0, .5, 5, 3)