esreg

Joint Quantile and Expected Shortfall Regression

Simultaneous modeling of the quantile and the expected shortfall of a response variable given a set of covariates, see Dimitriadis and Bayer (2017) <arXiv:1704.02213>.

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Description file content

Package
esreg
Type
Package
Title
Joint Quantile and Expected Shortfall Regression
Version
0.4.0
Date
2019-01-09
Description
Simultaneous modeling of the quantile and the expected shortfall of a response variable given a set of covariates, see Dimitriadis and Bayer (2017) .
License
GPL-3
Encoding
UTF-8
LazyData
true
Imports
quantreg, Rcpp, stats, Formula
LinkingTo
Rcpp, RcppArmadillo
RoxygenNote
6.1.0
NeedsCompilation
yes
Packaged
2019-01-09 20:53:43 UTC; sebastian
Author
Sebastian Bayer [aut, cre], Timo Dimitriadis [aut]
Maintainer
Sebastian Bayer
Repository
CRAN
Date/Publication
2019-01-09 21:10:03 UTC

install.packages('esreg')

0.4.0

5 months ago

Sebastian Bayer

GPL-3

Imports

quantreg, Rcpp, stats, Formula

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