R: Hotelling Critical Values

critval {quantreg} | R Documentation

## Hotelling Critical Values

### Description

Critical values for uniform confidence bands for rqss fitting

### Usage

    critval(kappa, alpha = 0.05, rdf = 0)

### Arguments

`kappa` | length of the tube
`alpha` | desired non-coverage of the band, intended coverage is 1 - alpha
`rdf` | "residual" degrees of freedom of the fitted object. If `rdf=0` then the Gaussian version of the critical value is computed, otherwise the value is based on standard Student t theory.

### Details

The Hotelling tube approach to inference has a long and illustrious history. See Johansen and Johnstone (1989) for an overview. The implementation here is based on Sun and Loader (1994) and Loader's locfit package, although a simpler root finding approach is substituted for the iterative method used there. At this stage, only univariate bands may be constructed.

### Value

A scalar critical value that acts as a multiplier for the uniform confidence band construction.

### References

Hotelling, H. (1939): “Tubes and Spheres in $n$-spaces, and a class of statistical problems,” Am J. Math, 61, 440–460.

Johansen, S., I.M. Johnstone (1990): “Hotelling's Theorem on the Volume of Tubes: Some Illustrations in Simultaneous Inference and Data Analysis,” The Annals of Statistics, 18, 652–684.

Sun, J. and C.V. Loader: (1994) “Simultaneous Confidence Bands for Linear Regression and smoothing,” The Annals of Statistics, 22, 1328–1345.

### See Also

`plot.rqss`

[Package quantreg version 5.93 Index]