quantes 2.0.1

Convolution Smoothed Quantile and Expected Shortfall Regression

quantes (Convolution Smoothed Quantile and Expected Shortfall Regression)

References

Fernandes, M., Guerre, E. and Horta, E. (2021). Smoothing quantile regressions. J. Bus. Econ. Statist. 39(1) 338–357. Paper

He, X., Tan, K. M. and Zhou, W.-X. (2023). Robust estimation and inference for expected shortfall regression with many regressors. J. R. Stat. Soc. B. 85(4) 1223-1246. Paper

He, X., Pan, X., Tan, K. M. and Zhou, W.-X. (2023). Smoothed quantile regression with large-scale inference. J. Econom. 232(2) 367-388. Paper

Koenker, R. (2005). Quantile Regression. Cambridge University Press, Cambridge. Book

Pan, X., Sun, Q. and Zhou, W.-X. (2021). Iteratively reweighted l₁-penalized robust regression. Electron. J. Stat. 15(1) 3287-3348. Paper

Tan, K. M., Wang, L. and Zhou, W.-X. (2022). High-dimensional quantile regression: convolution smoothing and concave regularization. J. R. Stat. Soc. B. 84(1) 205-233. Paper

License

This package is released under the GPL-3.0 license.