quantreg: Quantile Regression

Estimation and inference methods for models of conditional quantiles: Linear and nonlinear parametric and non-parametric (total variation penalized) models for conditional quantiles of a univariate response and several methods for handling censored survival data. Portfolio selection methods based on expected shortfall risk are also included.

Author
Roger Koenker [cre, aut], Stephen Portnoy [ctb] (Contributions to Censored QR code), Pin Tian Ng [ctb] (Contributions to Sparse QR code), Achim Zeileis [ctb] (Contributions to dynrq code essentially identical to his dynlm code), Philip Grosjean [ctb] (Contributions to nlrq code), Brian D Ripley [trl, ctb] (Initial (2001) R port from S (to my everlasting shame -- how could I have been so slow to adopt R!) and for numerous other suggestions and useful advice)
Date of publication
2016-09-04 13:02:15
Maintainer
Roger Koenker <rkoenker@illinois.edu>
License
GPL (>= 2)
Version
5.29
URLs

View on CRAN

Man pages

akj
Density Estimation using Adaptive Kernel method
anova.rq
Anova function for quantile regression fits
bandwidth.rq
bandwidth selection for rq functions
barro
Barro Data
boot.crq
Bootstrapping Censored Quantile Regression
boot.rq
Bootstrapping Quantile Regression
Bosco
Boscovich Data
CobarOre
Cobar Ore data
combos
Ordered Combinations
critval
Hotelling Critical Values
crq
Functions to fit censored quantile regression models
dither
Function to randomly perturb a vector
dynrq
Dynamic Linear Quantile Regression
engel
Engel Data
FAQ
FAQ and ChangeLog of a package
gasprice
Time Series of US Gasoline Prices
khmaladzeTest
Tests of Location and Location Scale Shift Hypotheses for...
kuantile
Quicker Sample Quantiles
latex
Make a latex version of an R object
latex.summary.rqs
Make a latex table from a table of rq results
latex.table
Writes a latex formatted table to a file
lm.fit.recursive
Recursive Least Squares
lprq
locally polynomial quantile regression
Mammals
Garland(1983) Data on Running Speed of Mammals
nlrq
Function to compute nonlinear quantile regression estimates
nlrq.control
Set control parameters for nlrq
Peirce
C.S. Peirce's Auditory Response Data
plot.rq.process
plot the coordinates of the quantile regression process
plot.rqs
Visualizing sequences of quantile regressions
plot.rqss
Plot Method for rqss Objects
plot.summary.rqs
Visualizing sequences of quantile regression summaries
predict.rq
Quantile Regression Prediction
predict.rqss
Predict from fitted nonparametric quantile regression...
print.rq
Print an rq object
print.summary.rq
Print Quantile Regression Summary Object
qrisk
Function to compute Choquet portfolio weights
qss
Additive Nonparametric Terms for rqss Fitting
QTECox
Function to obtain QTE from a Cox model
ranks
Quantile Regression Ranks
rearrange
Rearrangement
residuals.nlrq
Return residuals of an nlrq object
rq
Quantile Regression
rq.fit
Function to choose method for Quantile Regression
rq.fit.br
Quantile Regression Fitting by Exterior Point Methods
rq.fit.fnb
Quantile Regression Fitting via Interior Point Methods
rq.fit.fnc
Quantile Regression Fitting via Interior Point Methods
rq.fit.hogg
weighted quantile regression fitting
rq.fit.lasso
Lasso Penalized Quantile Regression
rq.fit.pfn
Preprocessing Algorithm for Quantile Regression
rq.fit.scad
SCADPenalized Quantile Regression
rq.fit.sfn
Sparse Regression Quantile Fitting
rq.fit.sfnc
Sparse Constrained Regression Quantile Fitting
rq.object
Linear Quantile Regression Object
rqProcess
Compute Standardized Quantile Regression Process
rq.process.object
Linear Quantile Regression Process Object
rqs.fit
Function to fit multiple response quantile regression models
rqss
Additive Quantile Regression Smoothing
rqss.object
RQSS Objects and Summarization Thereof
rq.wfit
Function to choose method for Weighted Quantile Regression
sfn.control
Set Control Parameters for Sparse Fitting
srisk
Markowitz (Mean-Variance) Portfolio Optimization
summary.crq
Summary methods for Censored Quantile Regression
summary.rq
Summary methods for Quantile Regression
summary.rqss
Summary of rqss fit
table.rq
Table of Quantile Regression Results
uis
UIS Drug Treatment study data

Files in this package

quantreg
quantreg/inst
quantreg/inst/TODO
quantreg/inst/ChangeLog
quantreg/inst/FAQ
quantreg/inst/doc
quantreg/inst/doc/rq-mcycle1.pdf
quantreg/inst/doc/rq-cobar.pdf
quantreg/inst/doc/rq-Frankplot.pdf
quantreg/inst/doc/engelcoef.pdf
quantreg/inst/doc/rq.Rnw
quantreg/inst/doc/rq-regspline.pdf
quantreg/inst/doc/rq.pdf
quantreg/inst/doc/rq-engellogplot.pdf
quantreg/inst/doc/crq.pdf
quantreg/inst/doc/rq.R
quantreg/inst/doc/abbrev.bib
quantreg/inst/doc/book.bib
quantreg/inst/doc/rqss.pdf
quantreg/inst/doc/rq-mammals.pdf
quantreg/inst/doc/rq-eqfs.pdf
quantreg/inst/doc/rq-engelplot.pdf
quantreg/tests
quantreg/tests/panel.R
quantreg/tests/run-demos.R
quantreg/tests/rq.R
quantreg/tests/rq.fit.panel.R
quantreg/src
quantreg/src/crq.f
quantreg/src/Makevars
quantreg/src/iswap.f
quantreg/src/srqfnc.f
quantreg/src/srtpai.f
quantreg/src/rqbr.f
quantreg/src/srqfn.f
quantreg/src/idmin.f
quantreg/src/extract.f
quantreg/src/mcmb.c
quantreg/src/rqfnc.f
quantreg/src/rq0.f
quantreg/src/etime.f
quantreg/src/cholesky.f
quantreg/src/rq1.f
quantreg/src/penalty.f
quantreg/src/chlfct.f
quantreg/src/rls.f
quantreg/src/dsel05.f
quantreg/src/bound.f
quantreg/src/boundc.f
quantreg/src/combos.f
quantreg/src/rqfn.f
quantreg/src/kuantile.f
quantreg/src/brute.f
quantreg/src/crqfnb.f
quantreg/src/rqs.f
quantreg/src/sparskit2.f
quantreg/src/rqfnb.f
quantreg/src/ratfor
quantreg/src/ratfor/rls.r
quantreg/src/ratfor/crqfnb.r
quantreg/src/ratfor/rqbr.f
quantreg/src/ratfor/penalty.r
quantreg/src/ratfor/boot.r
quantreg/src/ratfor/combos.r
quantreg/src/ratfor/rqfnb.r
quantreg/src/ratfor/rqfn.r
quantreg/src/ratfor/rqs.r
quantreg/src/ratfor/rqbr.r
quantreg/src/ratfor/rq0.f
quantreg/src/ratfor/sboot.f
quantreg/src/ratfor/README
quantreg/src/ratfor/powell.r
quantreg/src/ratfor/brute.r
quantreg/src/ratfor/rqfnc.r
quantreg/src/ratfor/spwy.r
quantreg/src/ratfor/akj.r
quantreg/src/ratfor/kuantile.r
quantreg/src/boot.f
quantreg/src/akj.f
quantreg/src/powell.f
quantreg/NAMESPACE
quantreg/demo
quantreg/demo/Frank.R
quantreg/demo/engel2.R
quantreg/demo/crquis.R
quantreg/demo/Mammals.R
quantreg/demo/predemo.R
quantreg/demo/RB-r.R
quantreg/demo/rqsslasso.R
quantreg/demo/cpoint.R
quantreg/demo/hinged.R
quantreg/demo/Polson.R
quantreg/demo/00Index
quantreg/demo/arqss.R
quantreg/demo/KMvCRQ.R
quantreg/demo/combos.R
quantreg/demo/Mel.R
quantreg/demo/cobar.R
quantreg/demo/engel1.R
quantreg/data
quantreg/data/Mammals.rda
quantreg/data/CobarOre.rda
quantreg/data/barro.rda
quantreg/data/Bosco.rda
quantreg/data/engel.rda
quantreg/data/gasprice.rda
quantreg/data/uis.rda
quantreg/data/Peirce.rda
quantreg/R
quantreg/R/anova.R
quantreg/R/crq.R
quantreg/R/qrisk.R
quantreg/R/boot.R
quantreg/R/dynrq.R
quantreg/R/sfn.R
quantreg/R/nlrq.R
quantreg/R/kuantile.R
quantreg/R/quantreg.R
quantreg/R/tools.R
quantreg/R/lprq.R
quantreg/R/khmal.R
quantreg/R/table.R
quantreg/R/combos.R
quantreg/R/rqss.R
quantreg/vignettes
quantreg/vignettes/rq.Rnw
quantreg/vignettes/gasprice.R
quantreg/vignettes/abbrev.bib
quantreg/vignettes/book.bib
quantreg/MD5
quantreg/README
quantreg/DESCRIPTION
quantreg/man
quantreg/man/rq.fit.Rd
quantreg/man/rq.fit.fnb.Rd
quantreg/man/dither.Rd
quantreg/man/CobarOre.Rd
quantreg/man/lprq.Rd
quantreg/man/rq.fit.scad.Rd
quantreg/man/bandwidth.rq.Rd
quantreg/man/print.summary.rq.Rd
quantreg/man/sfn.control.Rd
quantreg/man/latex.table.Rd
quantreg/man/boot.rq.Rd
quantreg/man/barro.Rd
quantreg/man/rqss.object.Rd
quantreg/man/rq.fit.lasso.Rd
quantreg/man/kuantile.Rd
quantreg/man/rq.fit.br.Rd
quantreg/man/rearrange.Rd
quantreg/man/QTECox.Rd
quantreg/man/rq.fit.fnc.Rd
quantreg/man/plot.rqss.Rd
quantreg/man/qss.Rd
quantreg/man/plot.summary.rqs.Rd
quantreg/man/rq.object.Rd
quantreg/man/plot.rq.process.Rd
quantreg/man/khmaladzeTest.Rd
quantreg/man/combos.Rd
quantreg/man/Peirce.Rd
quantreg/man/akj.Rd
quantreg/man/latex.Rd
quantreg/man/lm.fit.recursive.Rd
quantreg/man/table.rq.Rd
quantreg/man/rq.process.object.Rd
quantreg/man/rq.Rd
quantreg/man/rq.fit.hogg.Rd
quantreg/man/srisk.Rd
quantreg/man/nlrq.control.Rd
quantreg/man/rqss.Rd
quantreg/man/plot.rqs.Rd
quantreg/man/uis.Rd
quantreg/man/summary.rqss.Rd
quantreg/man/print.rq.Rd
quantreg/man/summary.rq.Rd
quantreg/man/predict.rq.Rd
quantreg/man/dynrq.Rd
quantreg/man/qrisk.Rd
quantreg/man/ranks.Rd
quantreg/man/Bosco.Rd
quantreg/man/rq.fit.pfn.Rd
quantreg/man/rq.fit.sfn.Rd
quantreg/man/rqProcess.Rd
quantreg/man/FAQ.Rd
quantreg/man/predict.rqss.Rd
quantreg/man/rq.wfit.Rd
quantreg/man/gasprice.Rd
quantreg/man/summary.crq.Rd
quantreg/man/residuals.nlrq.Rd
quantreg/man/Mammals.Rd
quantreg/man/engel.Rd
quantreg/man/crq.Rd
quantreg/man/anova.rq.Rd
quantreg/man/latex.summary.rqs.Rd
quantreg/man/nlrq.Rd
quantreg/man/critval.Rd
quantreg/man/boot.crq.Rd
quantreg/man/rqs.fit.Rd
quantreg/man/rq.fit.sfnc.Rd
quantreg/.Rinstignore