exdqlm

Authors Raquel Barata, Antonio Aguirre

Last update 16 September 2026

Copyright license MIT license, File License

Software version identifier 0.1.3, PACKAGES.rds, 0.1.1, 0.1.2, 0.1.4, 0.2.0, 0.3.0, 0.4.0, 1.0.0, 1.1.0, 1.1.1, 1.1.2

Description

Bayesian quantile-regression routines for dynamic state-space models and static regression under the extended asymmetric Laplace (exAL) error distribution. The dynamic state-space models are extended dynamic quantile linear models (exDQLMs). The package combines dynamic exDQLM inference via Laplace-delta variational Bayes (LDVB), Markov chain Monte Carlo (MCMC), and legacy importance-sampling variational Bayes (ISVB) with static exAL regression via LDVB and MCMC, reduced asymmetric Laplace/dynamic quantile linear model (AL/DQLM) paths through fixed skewness, component builders for trend/seasonality/regression blocks, static shrinkage priors including ridge, regularized horseshoe, and 'rhs_ns', evidence lower bound (ELBO) diagnostics, optional C++ accelerators, and posterior predictive synthesis across separately fitted quantiles through 'quantileSynthesis()'. Dynamic exDQLM methods are described in Barata et al. (2020) <doi:10.1214/21-AOAS1497>.

Cites work

Fast inference for time-varying quantiles via flexible dynamic models with application to the characterization of atmospheric rivers

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