qrsvm: SVM Quantile Regression with the Pinball Loss

Quantile Regression (QR) using Support Vector Machines under the Pinball-Loss. Estimation is based on "Nonparametric Quantile Regression" by I. Takeuchi, Q.V.Le , T. Sears, A.J.Smola (2004). Implementation relies on 'quadprog' package, package 'kernlab' Kernelfunctions and package 'Matrix' nearPD to find next Positive definite Kernelmatrix. Package estimates quantiles individually but an Implementation of non crossing constraints coming soon. Function multqrsvm() now supports parallel backend for faster fitting.

Getting started

Package details

AuthorThilo Hofmeister
MaintainerThilo Hofmeister <[email protected]>
LicenseGPL-2
Version0.2.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("qrsvm")

Try the qrsvm package in your browser

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

qrsvm documentation built on May 2, 2019, 4:02 p.m.