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>.

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Package details

AuthorSebastian Bayer [aut, cre], Timo Dimitriadis [aut]
MaintainerSebastian Bayer <[email protected]>
Package repositoryView on CRAN
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esreg documentation built on Jan. 10, 2019, 1:05 a.m.