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 h开发者_如何学Pythonere, 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 this you have to create a variable that says that each of your observations is complete (not censored):

library(survival)
x <- rexp(10)
ev <- rep(1, length(x))
sf <- survfit(Surv(x,ev)~1)

With output:

>summary(sf)
Call: survfit(formula = Surv(x, ev) ~ 1)

     time n.risk n.event survival std.err lower 95% CI upper 95% CI
-1.4143     10       1      0.9  0.0949       0.7320        1.000
-1.1229      9       1      0.8  0.1265       0.5868        1.000
-0.9396      8       1      0.7  0.1449       0.4665        1.000
-0.4413      7       1      0.6  0.1549       0.3617        0.995
-0.2408      6       1      0.5  0.1581       0.2690        0.929
-0.1698      5       1      0.4  0.1549       0.1872        0.855
 0.0613      4       1      0.3  0.1449       0.1164        0.773
 0.1983      3       1      0.2  0.1265       0.0579        0.691
 0.5199      2       1      0.1  0.0949       0.0156        0.642
 0.8067      1       1      0.0     NaN           NA           NA

In fact, survfit does calculate the median and its confidence interval, but not the other quantiles:

>sf
Call: survfit(formula = Surv(x, ev) ~ 1)

records   n.max n.start  events  median 0.95LCL 0.95UCL 
 10.000  10.000  10.000  10.000  -0.205  -0.940      NA 

The actual work for of the calculation of the confidence interval of the median is well hidden in the survival:::survmean function, which you could probably use to generalize to other quantiles.