Stephen Portnoy

Stephen Portnoy

1 packages on CRAN

quantreg

cran
99.99th

Percentile

Estimation and inference methods for models of conditional quantiles: 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.