Directional quantile regression in R

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F17%3A00476587" target="_blank" >RIV/67985556:_____/17:00476587 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.14736/kyb-2017-3-0480" target="_blank" >http://dx.doi.org/10.14736/kyb-2017-3-0480</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.14736/kyb-2017-3-0480" target="_blank" >10.14736/kyb-2017-3-0480</a>

Result language

angličtina

Original language name

Directional quantile regression in R

Original language description

Recently, the eminently popular standard quantile regression has been generalized to the multiple-output regression setup by means of directional regression quantiles in two rather interrelated ways. Unfortunately, they lead to complicated optimization problems involving parametric programming, and this may be the main obstacle standing in the way of their wide dissemination. The presented R package modQR is intended to address this issue. It originates as a quite faithful translation of the authors' moQuantile toolbox for Octave and MATLAB, and provides all the necessary computational support for both the directional multiple-output quantile regression methods to the wide statistical public. The article offers a concise summary of the statistical theory behind modQR, overviews the package in brief, points out its departures from moQuantile, comments on its use and performance, and demonstrates its application.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

10102 - Applied mathematics

Project

<a href="/en/project/GA14-07234S" target="_blank" >GA14-07234S: Multivariate regression quantiles in econometrics</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Kybernetika

ISSN

0023-5954

e-ISSN

—

Volume of the periodical

53

Issue of the periodical within the volume

3

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

13

Pages from-to

480-492

UT code for WoS article

000407667400006

EID of the result in the Scopus database

2-s2.0-85026546598