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-4.5-noble)esreg_0.6.2.tar.gz(r-4.4-noble)
esreg_0.6.2.tgz(r-4.4-emscripten)esreg_0.6.2.tgz(r-4.3-emscripten)
esreg.pdf |esreg.html✨
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 1 years agofrom:bfd68133fb. Checks:OK: 2. Indexed: no.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Sep 30 2024 |
| R-4.5-linux-x86_64 | OK | Sep 30 2024 |
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 |
