QuantileGH (version 0.1.8)

quantile_vcov: 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)

Value

Function quantile_vcov() returns the variance-covariance matrix of quantiles.

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.

References

Frederick Mosteller. On Some Useful "Inefficient" Statistics (1946). tools:::Rd_expr_doi("10.1214/aoms/1177730881")