confint.var: Confidence interval for sample variance or standard deviation

In Ecfun: Functions for Ecdat

Description

Computes the standard normal (i.e., chi-square) confidence intervals for a sample variance or standard deviation.

Usage

## S3 method for class 'var'
confint(object, parm, level=0.95, ...) 
## S3 method for class 'sd'
confint(object, parm, level=0.95, ...) 

Arguments

object	a numeric vector possibly with a "df" or "df.residuals" attribute assumed to represent a sample variance, possibly computed as root mean square of residuals from a model.
parm	degrees of freedom in the estimated variance or standard deviation.
level	the confidence level required
...	optional arguments not used.

Details

1. If object is not numeric, throw an error.

2. If parm is missing, look for an attribute of object starting with "df". If present, use that for parm. If parm is absent or not numeric, throw an error.

3. replicate object, parm, and level to the same length. Issue a warning if the longest is not a multiple of the others.

4. alph2 <- (1-level)/2

5. Qntls <- cbind(lower=qchisq(alph2, parm, lower=FALSE), upper=qchisq(alph2, parm))

6. CI <- (object*parm/Qntls)

7. attr(CI, 'level') <- Level

7. return(CI)

Value

a matrix with columns "lower" and "upper", nrow = the longest of the lengths of object, parm, and level, and an attribute "level".

Author(s)

Spencer Graves

References

Wikipedia, "Standard deviation", accessed 2016-07-06.

See Also

cor.test, VarCI

Examples

##
## 1.  simple examples 
##
(CI.v <- confint.var(c(1,1,4), c(1, 9, 9))) 
(CI.s <- confint.sd(c(1,1,2), c(1, 9, 9))) 

# Compare with the examples on Wikipedia

all.equal(CI.s, sqrt(CI.v))


WikipEx <- t(matrix(c(0.45, 31.9, 0.69, 1.83, 1.38, 3.66), 
                  nrow=2))
colnames(WikipEx) <- c('lower', 'upper')

(dCI <- (CI.s-WikipEx))
#Confirm within 2-digit roundoff

max(abs(dCI))<0.0102


##
## 2.  test df attributes
##
v <- c(1,1,4)
attr(v, 'df.') <- c(1, 9, 9)
class(v) <- 'var'
vCI <- confint(v)

# check 

all.equal(vCI, CI.v)


s <- sqrt(v)
class(s) <- 'sd'
sCI <- confint(s)

# check 

all.equal(sCI, CI.s)

Ecfun documentation built on May 2, 2019, 6:53 p.m.