• CAViaR

  • Referenced in 142 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 142 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 136 articles [sw04359]
  • Distributions , Computes multivariate normal and t probabilities, quantiles, random deviates and densities...
  • STABLE

  • Referenced in 107 articles [sw04843]
  • density (pdf), cumulative distribution function (cdf), and quantiles for a general stable distribution. These routines...
  • np

  • Referenced in 92 articles [sw10543]
  • parametric mean regression models and parametric quantile regression models, among others. The np package focuses...
  • Kernlab

  • Referenced in 89 articles [sw07926]
  • methods for classification, regression, clustering, novelty detection, quantile regression and dimensionality reduction. Among other methods...
  • rms

  • Referenced in 88 articles [sw04532]
  • spatially correlated observations, generalized linear models, and quantile regression...
  • gbm

  • Referenced in 50 articles [sw07994]
  • least squares, absolute loss, t-distribution 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 5--10% and for daily data...
  • LIBRA

  • Referenced in 28 articles [sw10553]
  • based on halfspace depth), and censored depth quantiles. For comparison also several non-robust functions...
  • 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...
  • AS 229

  • Referenced in 27 articles [sw26296]
  • Algorithm AS 229: computing regression quantiles...
  • fitdistrplus

  • Referenced in 19 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...
  • multtest

  • Referenced in 22 articles [sw08262]
  • distribution are implemented (centered, centered and scaled, quantile-transformed). Single-step and step-wise 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 22 articles [sw16389]
  • robust ANOVA (including between-within subject designs), quantile ANOVA, robust correlation, robust mediation, and nonparametric...
  • ghyp

  • Referenced in 21 articles [sw08162]
  • functions for the computation of density, quantile, probability, random variates, expected shortfall and some portfolio...
  • bmrm

  • Referenced in 20 articles [sw11016]
  • beta optimization, ROC optimization, ordinal regression, quantile regression, epsilon insensitive regression, least mean square, logistic...
  • Expectreg

  • Referenced in 14 articles [sw14660]
  • package expectreg: Expectile and Quantile Regression. Expectile and quantile regression of models with nonlinear effects...
  • QICD

  • Referenced in 12 articles [sw19679]
  • Estimate the Coefficients for Non-Convex Penalized Quantile Regression Model by using QICD Algorithm. Extremely ... Descent Algorithm for High-dimensional Nonconvex Penalized Quantile Regression. This algorithm combines the coordinate descent ... method: the cross validation and BIC for quantile regression model. Details are described in Peng...