erboost
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Nonparametric Multiple Expectile Regression via ER-Boost
Last update: 19 January 2024
Copyright license: GNU General Public License, version 3.0
Software version identifier: 1.4
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.
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