quantile_vcov {QuantileGH} | R Documentation |
Variance-Covariance of Quantiles
Description
To compute the variance-covariance matrix of quantiles based on Theorem 1 and 2 of Mosteller (1946).
Usage
quantile_vcov(p, d)
Arguments
p |
numeric vector, cumulative probabilities at the given quantiles |
d |
numeric vector, probability densities at the given quantiles |
Details
The end user should make sure no density too close to 0 is included in argument d
.
Function quantile_vcov must not be used in a compute-intensive way.
Value
Function quantile_vcov returns the variance-covariance matrix of quantiles.
References
Frederick Mosteller. On Some Useful "Inefficient" Statistics (1946). doi:10.1214/aoms/1177730881
[Package QuantileGH version 0.1.7 Index]