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 <>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the esreg package in your browser

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

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