Statistics, Department of
The R Journal
Date of this Version
12-2021
Document Type
Article
Citation
The R Journal (December 2021) 13(2); Editor: Dianne Cook
Abstract
We develop an R package SIQR that implements the single-index quantile regression (SIQR) models via an efficient iterative local linear approach in Wu et al. (2010). Single-index quantile regression models are important tools in semiparametric regression to provide a comprehensive view of the conditional distributions of a response variable. It is especially useful when the data is heterogeneous or heavy-tailed. The package provides functions that allow users to fit SIQR models, predict, provide standard errors of the single-index coefficients via bootstrap, and visualize the estimated univariate function. We apply the R package SIQR to a well-known Boston Housing data.
Included in
Numerical Analysis and Scientific Computing Commons, Programming Languages and Compilers Commons
Comments
Copyright 2021, The R Foundation. Open access material. License: CC BY 4.0 International