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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

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)

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