R: Compute Standardized Quantile Regression Process
rqProcess
R Documentation
Compute Standardized Quantile Regression Process
Description
Computes a standardize quantile regression process for the model
specified by the formula, on the partition of [0,1] specified by the
taus argument, and standardized according to the argument nullH.
Intended for use in KhmaladzeTest.
quantiles at which the process is to be evaluated, if any
of the taus lie outside (0,1) then the full process is computed
for all distinct solutions.
nullH
Null hypothesis to be used for standardization
...
optional arguments passed to summary.rq
Details
The process computes standardized estimates based on the
hypothesis specified in the nullH argument.
The Vhat component is rescaled by the Cholesky
decomposition of the tau specific covariance matrix, the vhat component is
rescaled by the marginal standard errors. The nature of the covariance
matrix used for the standardization is controlled arguments passed via
the ... argument to summary.rq. If the full
process is estimated then these covariance options aren't available
and only a simple iid-error form of the covariance matrix is used.