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>.

Version: 0.4.0
Imports: quantreg, Rcpp, stats, Formula
LinkingTo: Rcpp, RcppArmadillo
Published: 2019-01-09
Author: Sebastian Bayer [aut, cre], Timo Dimitriadis [aut]
Maintainer: Sebastian Bayer <sebastian.bayer at uni-konstanz.de>
License: GPL-3
NeedsCompilation: yes
Materials: README NEWS
CRAN checks: esreg results

Downloads:

Reference manual: esreg.pdf
Package source: esreg_0.4.0.tar.gz
Windows binaries: r-devel: esreg_0.4.0.zip, r-release: esreg_0.4.0.zip, r-oldrel: esreg_0.4.0.zip
OS X binaries: r-release: esreg_0.4.0.tgz, r-oldrel: esreg_0.3.1.tgz
Old sources: esreg archive

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