R, python or octave: empirical quantile (inverse cdf) with confidence intervals?
I'm looking for a built-in function that returns the sample quantile and an estimated confidence interval in something other than MATLAB (MATLAB's ecdf does this). I'm guessing R has this built-in and I just haven't found it yet. If you have any standalone code to do this, you could also point to it here, though I hope to find something that is included as part of a larger open code base. -Trying to get away from MATLAB. The survfit function can be used to get the survival function with confidence intervals. Since it is just 1-ecdf, there is a direct relationship between the quantiles. To use