Theil-Sen estimate and confidence interval for slope

Source: R/statpsych2.R

Computes a Theil-Sen estimate and distribution-free confidence interval for the population slope in a simple linear regression model. An approximate standard error is recovered from the confidence interval.

ci.theil(alpha, y, x)

Arguments

alpha

alpha level for 1-alpha confidence

y

vector of response variable scores

x

vector of predictor variable scores (paired with y)

Value

Returns a 1-row matrix. The columns are:

  • Estimate - Theil-Sen estimate of population slope

  • SE - recovered standard error

  • LL - lower limit of confidence interval

  • UL - upper limit of confidence interval

References

Hollander M, Wolf DA (1999). Nonparametric Statistical Methods. Wiley.

Examples

y <- c(21, 4, 9, 12, 35, 18, 10, 22, 24, 1, 6, 8, 13, 16, 19)
x <- c(67, 28, 30, 28, 52, 40, 25, 37, 44, 10, 14, 20, 28, 40, 51)
ci.theil(.05, y, x)
#>  Estimate        SE        LL   UL
#>       0.5 0.1085927 0.3243243 0.75

# Should return:
# Estimate        SE        LL   UL
#      0.5 0.1085927 0.3243243 0.75