Re: [R] Confidence Interval

From: <Bill.Venables_at_csiro.au>
Date: Sun, 3 Feb 2008 16:21:10 +1000

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: r-help-bounces_at_r-project.org [mailto:r-help-bounces_at_r-project.org] On Behalf Of Jacques Wagnor
Sent: Sunday, 3 February 2008 12:42 PM
To: r-help_at_stat.math.ethz.ch
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



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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. Received on Sun 03 Feb 2008 - 06:31:54 GMT

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