Prediction Intervals for Quantile Autoregression

Provides prediction intervals for classical homoscedastic autoregressive models (AR(p)) and quantile autoregressive models (QAR(p)). The package implements percentile-based and predictive-root-based bootstrap procedures for constructing multi-step-ahead prediction intervals. For more details, see Novo and Sanchez-Sellero (2025) .


Reference manual

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install.packages("qarPI")

0.1.0 by Silvia Novo, 6 months ago


https://github.com/SilviaNovo/qarPI


Report a bug at https://github.com/SilviaNovo/qarPI/issues


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


Authors: Silvia Novo [aut, cre] , César Sánchez-Sellero [aut]


Documentation:   PDF Manual  


GPL-3 license


Imports stats, quantreg


See at CRAN