Distribution-free confidence interval for IQR

Question

I am looking for a way to calculate confidence intervals for the interquartile range IQR of a numerical variable. Of course, they can be found by the bootstrap, but I am explicitly looking for a different, still distribution-free way. Since the IQR is a quantile difference, this reference could head into the right direction.

How would a pseudo-algorithm (or R/Python code) look like?

Here the "cheap" bootstrap way in R:

library(boot)
set.seed(1)
x <- rnorm(100)
S <- boot(x, function(x, ix) IQR(x[ix]), R = 10000)
boot.ci(S, type = "bca")

# BOOTSTRAP CONFIDENCE INTERVAL CALCULATIONS
# Based on 10000 bootstrap replicates
# 
# CALL : 
#   boot.ci(boot.out = S, type = "bca")
# 
# Intervals : 
#   Level       BCa          
# 95%   ( 0.958,  1.448 )  
# Calculations and Intervals on Original Scale

Is there something similar like the binomial approach used by @whuber in his answer here? How to obtain a confidence interval for a percentile?

Answer 1

Two observations, which may produce an acceptable result.

[EDIT] To answer the question on a theoretical formula, I start with individual sample quantiles, see presentation here, which assumes knowledge of the probability density function (pdf). Also, also this work which gives precise theoretical results for several distributions on the expected value and variance of the interquartile range.

Next, as the pdf is generally not known, there are several possible paths to estimate the variance of a sample quantile in practice (see, for example, discussion here per this 2005 work: ' VARIANCE ESTIMATION FOR SAMPLE QUANTILES USING THE m OUT OF n BOOTSTRAP'). Choose one.

Second, as the interquartile range is computed from a simultaneously drawn sample from two sides of an observed empirical distribution, I would argue that randomly having higher (or lower) observations on one side of the distribution produce correspondingly lower (or higher) counts on the opposite side. In other words, the sampling error between the individual quantiles in the IQR are likely negatively correlated.

So being conservative, the variance of the difference between the respective quantiles constituting the IQR is at most the sum of their individual variances (as the covariance term is expected to be negative).

Now, proceed to construct (and test) an interval for the IQR based on the square-root of the composite variance.