On Thu, 24 Jul 2003, Hotz, T. wrote:
> Dear Kjetil,
>
> As I already mentioned, it appears that there isn't a function
> available calculating the quantiles directly (at least, it doesn't appear
> in the C source of ctest). So as I already suggested, uniroot (or a similar
> C routine which calls the corresponding C code directly) is probably the
> best you can do (apart from writing it completely yourself).
>
> I didn't program this using uniroot, but I'd certainly try the following
> for speed-up:
>
> - For symmetry reasons, you only need to compute half of the quantiles.
> - The quantiles depend smoothly on the probabilities (of your reference
> distribution). Therefore, calculating only a "few" for probabilities
> between 0 and 0.5, and using (e.g. linear) interpolation should be
> satisfying.
>
There is an example of this in my package HyperbolicDist which has just
appeared on CRAN. It is a little more sophisticated in that it fits a
spline in preference to linear interpolation, before using uniroot.
Look at qhyperb if this is of interest.
David Scott
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David Scott Department of Statistics, Tamaki Campus
The University of Auckland, PB 92019
Auckland NEW ZEALAND
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Graduate Officer, Department of Statistics
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