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? Thanks, any help is greatly appreciated Man Zhang [[alternative HTML version deleted]] ______________________________________________ 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.
