[R] rqss help in Quantreg

From: Man Zhang <manzhang_at_ymail.com>
Date: Sun, 20 Mar 2011 20:24:01 -0700 (PDT)


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

      
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