quantreg

Quantile Regression

Last update: 19 August 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 5.95, 2.0-2, 3.01-1, 3.02, 3.03, 3.04, 3.05, 3.09, 3.11, 3.17, 3.19, 3.31, 3.32, 3.33, 3.34, 3.35, 3.40, 3.50, 3.52, 4.76, 4.77, 4.78, 4.79, 4.81, 4.85, 4.90, 4.91, 4.94, 4.95, 4.96, 4.97, 4.98, 5.01, 5.02, 5.04, 5.05, 5.08, 5.11, 5.18, 5.19, 5.21, 5.24, 5.26, 5.29, 5.33, 5.34, 5.35, 5.36, 5.38, 5.40, 5.41, 5.42.1, 5.42, 5.51, 5.52, 5.54, 5.55, 5.61, 5.65, 5.67, 5.70, 5.73, 5.74, 5.75, 5.82, 5.83, 5.85, 5.86, 5.87, 5.88, 5.93, 5.94, 5.96, 5.97

Source code repository: https://github.com/cran/quantreg

Description

Estimation and inference methods for models for conditional quantile functions: Linear and nonlinear parametric and non-parametric (total variation penalized) models for conditional quantiles of a univariate response and several methods for handling censored survival data. Portfolio selection methods based on expected shortfall risk are also now included. See Koenker, R. (2005) Quantile Regression, Cambridge U. Press, <doi:10.1017/CBO9780511754098> and Koenker, R. et al. (2017) Handbook of Quantile Regression, CRC Press, <doi:10.1201/9781315120256>.

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