Quantile Regression

Estimation and inference methods for models of conditional quantiles: Linear and nonlinear parametric and non-parametric (total variation penalized) models for conditional quantiles of a univariate response and several methods for handling censored survival data. Portfolio selection methods based on expected shortfall risk are also now included. See Koenker (2006) and Koenker et al. (2017) .


Reference manual

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5.86 by Roger Koenker, 8 months ago


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

Authors: Roger Koenker [cre, aut] , Stephen Portnoy [ctb] (Contributions to Censored QR code) , Pin Tian Ng [ctb] (Contributions to Sparse QR code) , Blaise Melly [ctb] (Contributions to preprocessing code) , Achim Zeileis [ctb] (Contributions to dynrq code essentially identical to his dynlm code) , Philip Grosjean [ctb] (Contributions to nlrq code) , Cleve Moler [ctb] (author of several linpack routines) , Yousef Saad [ctb] (author of sparskit2) , Victor Chernozhukov [ctb] (contributions to extreme value inference code) , Ivan Fernandez-Val [ctb] (contributions to extreme value inference code) , Brian D Ripley [trl, ctb] (Initial (2001) R port from S (to my everlasting shame -- how could I have been so slow to adopt R!) and for numerous other suggestions and useful advice)

Documentation:   PDF Manual  

Task views: Econometrics, Analysis of Ecological and Environmental Data, Optimization and Mathematical Programming, Reproducible Research, Robust Statistical Methods, Statistics for the Social Sciences, Survival Analysis

GPL (>= 2) license

Imports methods, graphics, Matrix, MatrixModels, conquer

Depends on stats, SparseM

Suggests tripack, akima, MASS, survival, rgl, logspline, nor1mix, Formula, zoo, R.rsp

Imported by CADStat, ClusPred, Counterfactual, EdSurvey, ForecastComb, GEInter, JWileymisc, LRQMM, MCMCpack, MTE, MXM, MendelianRandomization, MiRKAT, MultiKink, NCA, NSM3, OutlierDM, QBAsyDist, QRIpkg, QRank, QTOCen, Qtools, RATest, RPPASPACE, RPPanalyzer, SGP, SortedEffects, SystemicR, TSrepr, TTCA, WEE, WRTDStidal, Zelig, apTreeshape, batchtma, bgumbel, binsreg, car, chipPCR, cluscov, cmcR, cmprskQR, cobs, crs, ddpca, diveMove, emplik, erah, esreg, fairadapt, gJLS2, gapfill, georob, ggpmisc, ggquickeda, hettx, iNZightPlots, invacost, locpolExpectile, lqr, modeLLtest, mvctm, nlmeVPC, np, otvPlots, perryExamples, pez, plotluck, profExtrema, ptest, qrLMM, qrNLMM, qrmix, qte, quantdr, quantilogram, quantoptr, quantspec, quokar, rlme, rms, robmed, siqr, skedastic, smoothAPC, sn, stR, tidyvpc, tsrobprep.

Depended on by AdjBQR, EILA, EXRQ, ForecastCombinations, QRegVCM, Rearrangement, RobPer, SpatialRegimes, abc, alphaOutlier, caROC, cqrReg, genpathmox, lss2, midasr, pfa, pheno, plaqr, qrjoint, quantreg.nonpar, quantregGrowth, riv, rqPen, rrat, turboEM, vdg, weightQuant.

Suggested by AER, DAAG, GLDreg, GeoTcgaData, HSAUR3, MultiRobust, PerformanceAnalytics, broom, dyn, gamclass, ggeffects, ggiraph, ggplot2, gsubfn, insight, latticeExtra, lava, marginaleffects, mediation, openair, opera, optimCheck, parameters, picante, simsem, survey, tram, vinereg.

Enhanced by jtools, prediction, robustbase, stargazer.

See at CRAN