esreg: Joint Quantile and Expected Shortfall Regression

Simultaneous modeling of the quantile and the expected shortfall of a response variable given a set of covariates, see Dimitriadis and Bayer (2017) <arXiv:1704.02213>.

Getting started

Package details

AuthorSebastian Bayer [aut, cre], Timo Dimitriadis [aut]
MaintainerSebastian Bayer <[email protected]>
LicenseGPL-3
Version0.4.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("esreg")

Try the esreg package in your browser

Any scripts or data that you put into this service are public.

esreg documentation built on Jan. 10, 2019, 1:05 a.m.