SIQR: An R Package for Single-index Quantile Regression

Tianhai Zu, University of Cincinnati
Yan Yu, University of Cincinnati

Copyright 2021, The R Foundation. Open access material. License: CC BY 4.0 International

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