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quantreg (version 5.98)

Quantile Regression

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, and Koenker, R. et al. (2017) Handbook of Quantile Regression, CRC Press, .

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Version

Install

install.packages('quantreg')

Monthly Downloads

502,921

Version

5.98

License

GPL (>= 2)

Maintainer

Roger Koenker

Last Published

May 26th, 2024

Functions in quantreg (5.98)

combos

Ordered Combinations
QTECox

Function to obtain QTE from a Cox model
akj

Density Estimation using Adaptive Kernel method
latex

Make a latex version of an R object
critval

Hotelling Critical Values
kuantile

Quicker Sample Quantiles
dither

Function to randomly perturb a vector
dynrq

Dynamic Linear Quantile Regression
crq

Functions to fit censored quantile regression models
barro

Barro Data
gasprice

Time Series of US Gasoline Prices
engel

Engel Data
boot.crq

Bootstrapping Censored Quantile Regression
lm.fit.recursive

Recursive Least Squares
plot.rqs

Visualizing sequences of quantile regressions
plot.rqss

Plot Method for rqss Objects
plot.summary.rqs

Visualizing sequences of quantile regression summaries
predict.rq

Quantile Regression Prediction
lprq

locally polynomial quantile regression
q489

Even Quicker Sample Quantiles
rearrange

Rearrangement
nlrq.control

Set control parameters for nlrq
print.rq

Print an rq object
nlrq

Function to compute nonlinear quantile regression estimates
qrisk

Function to compute Choquet portfolio weights
predict.rqss

Predict from fitted nonparametric quantile regression smoothing spline models
print.KhmaladzeTest

Print a KhmaladzeTest object
plot.KhmaladzeTest

Plot a KhmaladzeTest object
latex.summary.rqs

Make a latex table from a table of rq results
latex.table

Writes a latex formatted table to a file
print.summary.rq

Print Quantile Regression Summary Object
rq.fit.fnb

Quantile Regression Fitting via Interior Point Methods
plot.rq

plot the coordinates of the quantile regression process
rq.fit.hogg

weighted quantile regression fitting
rq.fit.br

Quantile Regression Fitting by Exterior Point Methods
rq.fit.pfn

Preprocessing Algorithm for Quantile Regression
rq.fit.conquer

Optional Fitting Method for Quantile Regression
residuals.nlrq

Return residuals of an nlrq object
rqs.fit

Function to fit multiple response quantile regression models
rq.process.object

Linear Quantile Regression Process Object
rq.fit.pfnb

Quantile Regression Fitting via Interior Point Methods
rqProcess

Compute Standardized Quantile Regression Process
rq.fit.ppro

Preprocessing fitting method for QR
rq.fit.lasso

Lasso Penalized Quantile Regression
ranks

Quantile Regression Ranks
rq.fit.qfnb

Quantile Regression Fitting via Interior Point Methods
qss

Additive Nonparametric Terms for rqss Fitting
rq.fit.sfn

Sparse Regression Quantile Fitting
rq.fit.fnc

Quantile Regression Fitting via Interior Point Methods
rq.fit.scad

SCADPenalized Quantile Regression
uis

UIS Drug Treatment study data
rq

Quantile Regression
summary.crq

Summary methods for Censored Quantile Regression
rq.wfit

Function to choose method for Weighted Quantile Regression
sfn.control

Set Control Parameters for Sparse Fitting
rqss

Additive Quantile Regression Smoothing
rqss.object

RQSS Objects and Summarization Thereof
srisk

Markowitz (Mean-Variance) Portfolio Optimization
summary.rq

Summary methods for Quantile Regression
rq.object

Linear Quantile Regression Object
rq.fit

Function to choose method for Quantile Regression
table.rq

Table of Quantile Regression Results
rq.fit.sfnc

Sparse Constrained Regression Quantile Fitting
summary.rqss

Summary of rqss fit
KhmaladzeTest

Tests of Location and Location Scale Shift Hypotheses for Linear Models
Munge

Munge rqss formula
FAQ

FAQ and ChangeLog of a package
MelTemp

Daily maximum temperatures in Melbourne, Australia
LassoLambdaHat

Lambda selection for QR lasso problems
ParetoTest

Estimation and Inference on the Pareto Tail Exponent for Linear Models
Bosco

Boscovich Data
CobarOre

Cobar Ore data
Peirce

C.S. Peirce's Auditory Response Data
bandwidth.rq

bandwidth selection for rq functions
anova.rq

Anova function for quantile regression fits
Mammals

Garland(1983) Data on Running Speed of Mammals
boot.rq.pxy

Preprocessing bootstrap method
boot.rq

Bootstrapping Quantile Regression
boot.rq.pwxy

Preprocessing weighted bootstrap method