erboost

CRANerboostMaRDI QIDQ5977710

Nonparametric Multiple Expectile Regression via ER-Boost

Yi Yang, Hui Zou

Last update: 19 January 2024

Software version identifier: 1.4

Copyright license: GNU General Public License, version 3.0

Description

Expectile regression is a nice tool for estimating the conditional expectiles of a response variable given a set of covariates. This package implements a regression tree based gradient boosting estimator for nonparametric multiple expectile regression, proposed by Yang, Y., Qian, W. and Zou, H. (2018) <doi:10.1080/00949655.2013.876024>. The code is based on the 'gbm' package originally developed by Greg Ridgeway.

Cites work

• Nonparametric multiple expectile regression via ER-Boost