
CAViaR
 Referenced in 136 articles
[sw04424]
 Conditional autoregressive value at risk by regression quantiles. Value at risk (VaR) is the standard ... financial institutions. Interpreting the VaR as the quantile of future portfolio values conditional on current ... CAViaR) model specifies the evolution of the quantile over time using an autoregressive process ... estimates the parameters with regression quantiles. Utilizing the criterion that each period the probability...

quantreg
 Referenced in 138 articles
[sw04356]
 package quantreg: Quantile Regression. Estimation and inference methods for models of conditional quantiles: Linear ... parametric (total variation penalized) models for conditional quantiles of a univariate response and several methods...

mvtnorm
 Referenced in 130 articles
[sw04359]
 Distributions , Computes multivariate normal and t probabilities, quantiles, random deviates and densities...

STABLE
 Referenced in 106 articles
[sw04843]
 density (pdf), cumulative distribution function (cdf), and quantiles for a general stable distribution. These routines...

np
 Referenced in 91 articles
[sw10543]
 parametric mean regression models and parametric quantile regression models, among others. The np package focuses...

Kernlab
 Referenced in 88 articles
[sw07926]
 methods for classification, regression, clustering, novelty detection, quantile regression and dimensionality reduction. Among other methods...

rms
 Referenced in 85 articles
[sw04532]
 spatially correlated observations, generalized linear models, and quantile regression...

gbm
 Referenced in 49 articles
[sw07994]
 least squares, absolute loss, tdistribution loss, quantile regression, logistic, multinomial logistic, Poisson, Cox proportional...

quantilogram
 Referenced in 24 articles
[sw25152]
 based on comparing the correlogram of quantile hits to a pointwise confidence interval ... evidence is strongest in mid range quantiles like 510% and for daily data...

cmprskQR
 Referenced in 17 articles
[sw11076]
 cmprskQR: Analysis of Competing Risks Using Quantile Regressions. Estimation, testing and regression modeling of subdistribution ... functions in competing risks using quantile regressions, as described in Peng and Fine ... Competing risks quantile regression, JASA...

LIBRA
 Referenced in 27 articles
[sw10553]
 based on halfspace depth), and censored depth quantiles. For comparison also several nonrobust functions...

AS 229
 Referenced in 25 articles
[sw26296]
 Algorithm AS 229: computing regression quantiles...

fitdistrplus
 Referenced in 17 articles
[sw15776]
 different estimation methods (maximum likelihood, moment matching, quantile matching and maximum goodnessoffit estimation ... methods are provided, including summary, plot and quantile. This package also provides various functions...

multtest
 Referenced in 22 articles
[sw08262]
 distribution are implemented (centered, centered and scaled, quantiletransformed). Singlestep and stepwise methods...

evd
 Referenced in 22 articles
[sw12267]
 extreme value distributions. Extends simulation, distribution, quantile and density functions to univariate and multivariate parametric...

WRS2
 Referenced in 21 articles
[sw16389]
 robust ANOVA (including betweenwithin subject designs), quantile ANOVA, robust correlation, robust mediation, and nonparametric...

ghyp
 Referenced in 19 articles
[sw08162]
 functions for the computation of density, quantile, probability, random variates, expected shortfall and some portfolio...

mcmcse
 Referenced in 19 articles
[sw08171]
 MCMC) settings. MCSE computation for expectation and quantile estimators is supported. The package also provides...

bmrm
 Referenced in 19 articles
[sw11016]
 beta optimization, ROC optimization, ordinal regression, quantile regression, epsilon insensitive regression, least mean square, logistic...

Expectreg
 Referenced in 13 articles
[sw14660]
 package expectreg: Expectile and Quantile Regression. Expectile and quantile regression of models with nonlinear effects...