Adaptive Generalized Bayesian Quantile Regression

Implements adaptive generalized Bayesian quantile regression with quantile-specific learning rates, HAC-based calibration, Gibbs posterior simulation, posterior summaries, predictive evaluation, and visualization tools. The package builds on the generalized Bayesian composite quantile regression framework of Hardy and Korobilis (2026) by allowing learning rates to vary across quantile levels. The implementation is designed for empirical work with small and moderate time-series samples where posterior calibration and tail-specific inference are important.


Reference manual

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install.packages("AGBQR")

0.1.0 by Khder Alakkari, 4 months ago


Browse source code at https://github.com/cran/AGBQR


Authors: Khder Alakkari [aut, cre]


Documentation:   PDF Manual  


MIT + file LICENSE license


Imports quantreg, MASS, stats

Suggests testthat


See at CRAN