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 <thilo.hofmeister@uni-hohenheim.de>
Package repositoryView on CRAN
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qrsvm documentation built on May 2, 2019, 4:02 p.m.