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EXRQ (version 1.0)
Extreme Regression of Quantiles
Description
Estimation for high conditional quantiles based on quantile regression.
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Version
Version
1.0
Install
install.packages('EXRQ')
Monthly Downloads
138
Version
1.0
License
GPL-3
Maintainer
Huixia Judy Wang
Last Published
July 6th, 2016
Functions in EXRQ (1.0)
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ThreeStage
Three-Stage Extreme Conditional Quantile Estimator
qpareto
Quantile of the Pareto Distribution
est.gamma.func
Estimation of the Extreme Value Index on the Original Scale
TwoStage
Two-Stage Extreme Conditional Quantile Estimator
EVI.CFG.func
Hill Estimator of the Extreme Value Index
Estc.func
Estimation of the C vector
rpareto
Random Generation for the Pareto Distribution
testC.EVI
Testing the Constancy of EVI Over Covariates
select.k.func
Selection of the Tuning Parameter k