Package: esreg 0.6.2
Sebastian Bayer
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 (2019) <doi:10.1214/19-EJS1560>.
Authors:
esreg_0.6.2.tar.gz
esreg_0.6.2.tar.gz(r-4.7-arm64)esreg_0.6.2.tar.gz(r-4.7-x86_64)esreg_0.6.2.tar.gz(r-4.6-arm64)esreg_0.6.2.tar.gz(r-4.6-x86_64)
esreg_0.6.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
esreg/json (API)
NEWS
| # Install 'esreg' in R: |
| install.packages('esreg', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:bfd68133fb. Checks:6 OK. Indexed: no.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 119 | ||
| linux-devel-x86_64 | OK | 132 | ||
| source / vignettes | OK | 1552 | ||
| linux-release-arm64 | OK | 118 | ||
| linux-release-x86_64 | OK | 160 | ||
| wasm-release | OK | 118 |
Exports:cdf_at_quantileconditional_mean_sigmaconditional_truncated_variancedensity_quantile_functionesr_lossesr_rho_lpesregestfun.esregG_vecG1_funG1_prime_funG1_prime_prime_funG2_curly_funG2_funG2_prime_funG2_prime_primelambda_matrixsigma_matrixvcovAvcovB
Dependencies:FormulalatticeMASSMatrixMatrixModelsquantregRcppRcppArmadilloSparseMsurvival
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Joint Loss Function | esr_loss |
| Joint Quantile and Expected Shortfall Regression | esreg esreg.default esreg.formula |
| Estimating function | estfun.esreg |
| Lambda Matrix | lambda_matrix |
| Sigma Matrix | sigma_matrix |
| Covariance Estimation | vcov.esreg |
| Asymptotic Covariance Estimation | vcovA |
| Bootstrap Covariance Estimation | vcovB |
