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 (2019) <doi:10.1214/19-EJS1560>.

Getting started

Package details

AuthorSebastian Bayer [aut, cre], Timo Dimitriadis [aut]
MaintainerSebastian Bayer <sebastian.bayer@uni-konstanz.de>
LicenseGPL-3
Version0.5.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("esreg")

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esreg documentation built on Nov. 16, 2019, 1:07 a.m.