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quantreg (version 5.97)

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

451,549

Version

5.97

License

GPL (>= 2)

Maintainer

Roger Koenker

Last Published

August 19th, 2023

Functions in quantreg (5.97)

QTECox

Function to obtain QTE from a Cox model
barro

Barro Data
boot.crq

Bootstrapping Censored Quantile Regression
crq

Functions to fit censored quantile regression models
critval

Hotelling Critical Values
akj

Density Estimation using Adaptive Kernel method
combos

Ordered Combinations
latex.table

Writes a latex formatted table to a file
engel

Engel Data
gasprice

Time Series of US Gasoline Prices
nlrq.control

Set control parameters for nlrq
plot.KhmaladzeTest

Plot a KhmaladzeTest object
plot.rq

plot the coordinates of the quantile regression process
latex.summary.rqs

Make a latex table from a table of rq results
nlrq

Function to compute nonlinear quantile regression estimates
bandwidth.rq

bandwidth selection for rq functions
lm.fit.recursive

Recursive Least Squares
plot.rqs

Visualizing sequences of quantile regressions
dither

Function to randomly perturb a vector
plot.rqss

Plot Method for rqss Objects
ranks

Quantile Regression Ranks
plot.summary.rqs

Visualizing sequences of quantile regression summaries
print.rq

Print an rq object
qss

Additive Nonparametric Terms for rqss Fitting
print.KhmaladzeTest

Print a KhmaladzeTest object
latex

Make a latex version of an R object
print.summary.rq

Print Quantile Regression Summary Object
boot.rq

Bootstrapping Quantile Regression
kuantile

Quicker Sample Quantiles
boot.rq.pwxy

Preprocessing weighted bootstrap method
rq.fit.pfn

Preprocessing Algorithm for Quantile Regression
dynrq

Dynamic Linear Quantile Regression
predict.rqss

Predict from fitted nonparametric quantile regression smoothing spline models
q489

Even Quicker Sample Quantiles
rq.fit.hogg

weighted quantile regression fitting
predict.rq

Quantile Regression Prediction
rq.fit.br

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

Quantile Regression Fitting via Interior Point Methods
rearrange

Rearrangement
rq.object

Linear Quantile Regression Object
rq.fit.pfnb

Quantile Regression Fitting via Interior Point Methods
residuals.nlrq

Return residuals of an nlrq object
rq.fit.conquer

Optional Fitting Method for Quantile Regression
srisk

Markowitz (Mean-Variance) Portfolio Optimization
rq.fit.sfnc

Sparse Constrained Regression Quantile Fitting
sfn.control

Set Control Parameters for Sparse Fitting
rq.fit.lasso

Lasso Penalized Quantile Regression
rq

Quantile Regression
rq.fit

Function to choose method for Quantile Regression
rq.fit.fnc

Quantile Regression Fitting via Interior Point Methods
rq.process.object

Linear Quantile Regression Process Object
summary.rqss

Summary of rqss fit
summary.rq

Summary methods for Quantile Regression
rq.wfit

Function to choose method for Weighted Quantile Regression
summary.crq

Summary methods for Censored Quantile Regression
table.rq

Table of Quantile Regression Results
rqProcess

Compute Standardized Quantile Regression Process
lprq

locally polynomial quantile regression
rq.fit.sfn

Sparse Regression Quantile Fitting
uis

UIS Drug Treatment study data
rqs.fit

Function to fit multiple response quantile regression models
qrisk

Function to compute Choquet portfolio weights
rq.fit.qfnb

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

Preprocessing fitting method for QR
rq.fit.scad

SCADPenalized Quantile Regression
rqss.object

RQSS Objects and Summarization Thereof
rqss

Additive Quantile Regression Smoothing
anova.rq

Anova function for quantile regression fits
CobarOre

Cobar Ore data
Bosco

Boscovich Data
boot.rq.pxy

Preprocessing bootstrap method
ParetoTest

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

Garland(1983) Data on Running Speed of Mammals
LassoLambdaHat

Lambda selection for QR lasso problems
MelTemp

Daily maximum temperatures in Melbourne, Australia
KhmaladzeTest

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

FAQ and ChangeLog of a package
Munge

Munge rqss formula
Peirce

C.S. Peirce's Auditory Response Data