NormalQuantileStandardError function

Standard error of normal quantile estimate

Estimates standard error of normal quantile estimate

NormalQuantileStandardError(prob, n, mu, sigma, bin.size)

Arguments

• prob: Tail probability. Can be a vector or scalar
• n: Sample size
• mu: Mean of the normal distribution
• sigma: Standard deviation of the distribution
• bin.size: Bin size. It is optional parameter with default value 1

Returns

Vector or scalar depending on whether the probability is a vector or scalar

Examples

# Estimates standard error of normal quantile estimate
   NormalQuantileStandardError(.8, 100, 0, .5, 3)

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.