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.

AuthorRoger 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 publication2016-09-04 13:02:15
MaintainerRoger Koenker <rkoenker@illinois.edu>
LicenseGPL (>= 2)
Version5.29
http://www.r-project.org

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.