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.
Package details |
|
---|---|
Author | Thilo Hofmeister, Chingchuan Chen |
Maintainer | Thilo Hofmeister <thilo.hofmeister@uni-hohenheim.de> |
License | GPL-2 |
Version | 0.2.2 |
Package repository | View on GitHub |
Installation |
Install the latest version of this package by entering the following in R:
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.