Rfit (version 0.09)

taustar: Estimate of the Scale Parameter taustar

Description

An estimate of the scale parameter taustar = 1/(2*f(0)) is needed for the standard error of the intercept in rank-based regression.

Usage

taustar(resid, p, conf = 0.95)

Arguments

resid

full model residuals

p

is the number of regression coefficients (without the intercept)

conf

confidence level of CI used

Value

• Length-one numeric object containing the estimated scale parameter taustar.

Details

Confidence interval estimate of taustar. See, for example, Hettmansperger and McKean (1998) p.7-8 and p.25-26.

References

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

See Also

rfit

Examples

##  This is an internal function.  See rfit for user-level examples.

## The function is currently defined as
function (resid, p, conf = 0.95) 
{
    n = length(resid)
    zc = qnorm((1 + conf)/2)
    c1 = (n/2) - ((sqrt(n) * zc)/2) - 0.5
    ic1 = floor(c1)
    if (ic1 < 0) {
        ic1 = 0
    }
    z = sort(resid)
    l = z[ic1 + 1]
    u = z[n - ic1]
    df = sqrt(n)/sqrt(n - p - 1)
    taustar = df * ((sqrt(n) * (u - l))/(2 * zc))
    taustar
  }