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 (2017) <arXiv:1704.02213>.

Version: 0.3.1
Imports: quantreg, Rcpp, stats
LinkingTo: Rcpp, RcppArmadillo
Suggests: GenSA
Published: 2017-08-22
Author: Sebastian Bayer [aut, cre], Timo Dimitriadis [aut]
Maintainer: Sebastian Bayer <sebastian.bayer at>
License: GPL-3
NeedsCompilation: yes
Materials: README NEWS
CRAN checks: esreg results


Reference manual: esreg.pdf
Package source: esreg_0.3.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: esreg_0.3.1.tgz
OS X Mavericks binaries: r-oldrel: esreg_0.3.1.tgz
Old sources: esreg archive


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