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2011 Mar 21
2
rqss help in Quantreg
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