QuantifQuantile; an R Package for Performing Quantile Regression through Optimal Quantization

Isabelle Charlier, Davy Paindaveine and Jérôme Saracco

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: Quantile regression allows to assess the impact of some covariate X on a response Y .An important application is the construction of reference curves and conditional predictionintervals for Y .Recently, Charlier et al. (2014a) developed a new nonparametric quantileregression method based on the concept of optimal quantization. This method, as shownin Charlier et al. (2014b), competes very well with its classical nearest-neighbor or kernelcompetitors. In this paper, we describe an R package, called QuantifQuantile, that allowsto perform quantization-based quantile regression. We describe the various functions of thepackage and provide examples.

Keywords: nonparametric estimation; optimal quantization; quantile regression; R package (search for similar items in EconPapers)
Pages: 20 p.
Date: 2014-09
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