Convolution-Type Smoothed Quantile Regression

Fast and accurate convolution-type smoothed quantile regression. Implemented using Barzilai-Borwein gradient descent with a Huber regression warm start. Construct confidence intervals for regression coefficients using multiplier bootstrap.


Reference manual

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1.0.2 by Xiaoou Pan, a year ago

Browse source code at

Authors: Xuming He [aut] , Xiaoou Pan [aut, cre] , Kean Ming Tan [aut] , Wen-Xin Zhou [aut]

Documentation:   PDF Manual  

GPL-3 license

Imports Rcpp, Matrix, matrixStats, stats

Linking to Rcpp, RcppArmadillo

System requirements: C++11

Imported by quantreg.

See at CRAN