The motivation for the question comes from Figure 3 of this paper http://www.ma.hw.ac.uk/~mcneil/ftp/cad.pdf, which shows that a confidence interval for a statistic is possible. Does there exist a function in R for such a calculation? If not, how would one go about doing it in R?
Any pointers would be greatly appreciated. On Feb 3, 2008 12:21 AM, <[EMAIL PROTECTED]> wrote: > Your question is not clear. Confidence intervals apply to parameters. > What you set out below is a simulation strategy. x is a simulated > sample and y is a statistic based on it. There is no 'model' in any > statistical sense. > > What is the parameter for which you want a confidence interval? > > What data set, or sets, will you have available to do it? > > Do you want to make parametric assumptions (in which case the Likelihood > Ratio interval may be possible) or do you want to use a non-parametric > interval, keeping the assumptions as weak as possible (in which case, > inverting the sign test might be appropriate)? > > Finally, what has this got to do with R-help? > > > > > -----Original Message----- > From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] > On Behalf Of Jacques Wagnor > Sent: Sunday, 3 February 2008 12:42 PM > To: [EMAIL PROTECTED] > Subject: [R] Confidence Interval > > I have a model as follows: > > x <- replicate(100, sum(rlnorm(rpois(1,5), 0,1))) > y <- quantile(x, 0.99) > > How would one go about estimating the boundaries of a 95% confidence > interval for y? > > Any pointers would be greatly appreciated. > > > version > _ > platform i386-pc-mingw32 > arch i386 > os mingw32 > system i386, mingw32 > status > major 2 > minor 5.1 > year 2007 > month 06 > day 27 > svn rev 42083 > language R > version.string R version 2.5.1 (2007-06-27) > > Jacques > > ______________________________________________ > R-help@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@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.
