boot.rq {quantreg} | R Documentation |

## Bootstrapping Quantile Regression

### Description

These functions can be used to construct standard errors, confidence
intervals and tests of hypotheses regarding quantile regression models.

### Usage

boot.rq(x, y, tau = 0.5, R = 200, bsmethod = "xy", mofn = length(y), ...)

### Arguments

`x` |
The regression design matrix |

`y` |
The regression response vector |

`tau` |
The quantile of interest |

`R` |
The number of bootstrap replications |

`bsmethod` |
The method to be employed. There are (as yet) three
options: method = "xy" uses the xy-pair method, and
method = "pwy" uses the method of Parzen, Wei and Ying (1994)
method = "mcmb" uses the Markov chain marginal bootstrap
of He and Hu (2002) and Kocherginsky, He and Mu (2003). |

`mofn` |
optional argument for the bootstrap method "xy" that
permits subsampling (m out of n) bootstrap. Obviously mofn
should be substantially larger than the column dimension of x,
and should be less than the sample size. |

`...` |
Optional arguments to control bootstrapping |

### Details

Their are several refinements that are still unimplemented. Percentile
methods should be incorporated, and extensions of the methods to be used
in anova.rq should be made.

### Value

A matrix of dimension R by p is returned with the R resampled
estimates of the vector of quantile regression parameters. When
mofn < n for the "xy" method this matrix has been deflated by
the fact sqrt(m/n)

### Author(s)

Roger Koenker (and Xuming He and M. Kocherginsky for the mcmb code)

### References

[1] Koenker, R. W. (1994). Confidence Intervals for regression quantiles, in
P. Mandl and M. Huskova (eds.), *Asymptotic Statistics*, 349–359,
Springer-Verlag, New York.

[2] Kocherginsky, M., He, X. and Mu, Y. (2003).
Practical Confidence Intervals for Regression Quantiles. Preprint.

[3] He, X. and Hu, F. (2002). Markov Chain Marginal Bootstrap.
Journal of the American Statistical Association , Vol. 97, no. 459,
783-795.

[4] Parzen, M. I., L. Wei, and Z. Ying (1994): A resampling
method based on pivotal estimating functions,'' Biometrika, 81, 341–350.

### See Also

`summary.rq`

### Examples

y <- rnorm(50)
x <- matrix(rnorm(100),50)
fit <- rq(y~x,tau = .4)
summary(fit,se = "boot", bsmethod= "xy")
summary(fit,se = "boot", bsmethod= "pwy")
#summary(fit,se = "boot", bsmethod= "mcmb")

[Package

*quantreg* version 3.82

Index]