• CAViaR

  • Referenced in 134 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 121 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 127 articles [sw04359]
  • Distributions , Computes multivariate normal and t probabilities, quantiles, random deviates and densities...
  • STABLE

  • Referenced in 102 articles [sw04843]
  • density (pdf), cumulative distribution function (cdf), and quantiles for a general stable distribution. These routines...
  • np

  • Referenced in 88 articles [sw10543]
  • parametric mean regression models and parametric quantile regression models, among others. The np package focuses...
  • rms

  • Referenced in 81 articles [sw04532]
  • spatially correlated observations, generalized linear models, and quantile regression...
  • Kernlab

  • Referenced in 81 articles [sw07926]
  • methods for classification, regression, clustering, novelty detection, quantile regression and dimensionality reduction. Among other methods...
  • gbm

  • Referenced in 44 articles [sw07994]
  • least squares, absolute loss, t-distribution loss, quantile regression, logistic, multinomial logistic, Poisson, Cox proportional...
  • quantilogram

  • Referenced in 23 articles [sw25152]
  • based on comparing the correlogram of quantile hits to a pointwise confidence interval ... evidence is strongest in mid range quantiles like 5--10% and for daily data...
  • LIBRA

  • Referenced in 26 articles [sw10553]
  • based on halfspace depth), and censored depth quantiles. For comparison also several non-robust functions...
  • AS 229

  • Referenced in 23 articles [sw26296]
  • Algorithm AS 229: computing regression quantiles...
  • cmprskQR

  • Referenced in 14 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...
  • fitdistrplus

  • Referenced in 16 articles [sw15776]
  • different estimation methods (maximum likelihood, moment matching, quantile matching and maximum goodness-of-fit estimation ... methods are provided, including summary, plot and quantile. This package also provides various functions...
  • evd

  • Referenced in 21 articles [sw12267]
  • extreme value distributions. Extends simulation, distribution, quantile and density functions to univariate and multivariate parametric...
  • multtest

  • Referenced in 20 articles [sw08262]
  • distribution are implemented (centered, centered and scaled, quantile-transformed). Single-step and step-wise methods...
  • ghyp

  • Referenced in 19 articles [sw08162]
  • functions for the computation of density, quantile, probability, random variates, expected shortfall and some portfolio...
  • WRS2

  • Referenced in 19 articles [sw16389]
  • robust ANOVA (including between-within subject designs), quantile ANOVA, robust correlation, robust mediation, and nonparametric...
  • bmrm

  • Referenced in 18 articles [sw11016]
  • beta optimization, ROC optimization, ordinal regression, quantile regression, epsilon insensitive regression, least mean square, logistic...
  • tmvtnorm

  • Referenced in 17 articles [sw08073]
  • normal and Student t distribution. Computes probabilities, quantiles and densities, including one-dimensional and bivariate...
  • mcmcse

  • Referenced in 17 articles [sw08171]
  • MCMC) settings. MCSE computation for expectation and quantile estimators is supported. The package also provides...