Rfit (version 0.09)

gettau: Estimate of the Scale Parameter tau

Description

An estimate of the scale parameter tau is needed for the standard errors of the coefficents in rank-based regression.

Usage

gettau(ehat, p, phi , phidu, param = c(0), delta = 0.8, hparm = 2)

Arguments

ehat

full model residuals

p

number of regression coefficents

phi

score function used in estimation

phidu

derivative of the score function phi

param

Joe's params

delta

confidence level

hparm

Joe's hparm

Value

• Length one numeric object.

Details

This is the confidence interval type estimate of the scale parameter tau developed my Koul, Sievers, and McKean (1987). This estimate is also discussed in Section 3.7.1 of Hettmansperger and McKean (1998).

References

Hettmansperger, T.P. and McKean, J.W. (1998), Robust Nonparametric Statistical Methods, London: Arnold.

Koul, H.L., Sievers, G.L., and McKean, J.W. (1987) An esimator of the scale parameter for the rank analysis of linear models under general score functions, Scandinavian Journal of Statistics, 14, 131-141.

See Also

rfit