Composite Quantile Regression

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Composite Quantile Regression

Frank Harrell
Does anyone know of R functions for doing composite quantile regression (Hou and Yuan Ann Stat 36:1108, 2008)?  The paper's authors do not talk about software in their paper or on their web sites.
Thanks
Frank
Frank Harrell
Department of Biostatistics, Vanderbilt University
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Re: Composite Quantile Regression

Yihui Xie-2
I have no idea, but I cannot help taking this chance to say how much I
love Hastie and Tibshirani. There are two types of authors in the
world: those who are chased by desperate readers for software
packages, and those who chase the readers desperately with their
packages (cf Hastie's recent announcement of softImpute and
Tibshirani's covTest).

Regards,
Yihui
--
Yihui Xie <[hidden email]>
Phone: 515-294-2465 Web: http://yihui.name
Department of Statistics, Iowa State University
2215 Snedecor Hall, Ames, IA


On Fri, Apr 5, 2013 at 12:55 PM, Frank Harrell <[hidden email]> wrote:

> Does anyone know of R functions for doing composite quantile regression (Hou
> and Yuan Ann Stat 36:1108, 2008)?  The paper's authors do not talk about
> software in their paper or on their web sites.
> Thanks
> Frank
>
>
>
>
> -----
> Frank Harrell
> Department of Biostatistics, Vanderbilt University

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Re: Composite Quantile Regression

RKoenker
In reply to this post by Frank Harrell
This reply is more than a little late, but I just ran across Frank's question today
as I was searching for something else in R-help.  And as it happens I was about
to incorporate some old code to do "Composite QR" into the quantreg package.
This new version has now been uploaded to CRAN so, with some luck, it will be
available soonish.  The relevant function is rq.fit.hogg so named because Bob
Hogg suggested the idea to me in 1984.  It turns out to have some interesting
applications to portfolio selection that are very briefly described in another new
quantreg function qrisk, and the references mentioned in the documentation
thereof.

Frank Harrell wrote
April 05, 2013

Does anyone know of R functions for doing composite quantile regression (Hou and Yuan Ann Stat 36:1108, 2008)?  The paper's authors do not talk about software in their paper or on their web sites.
Thanks
Frank