./math/R-quantreg, Quantile Regression

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Branch: CURRENT, Version: 5.29, Package name: R-quantreg-5.29, Maintainer: pkgsrc-users

Estimation and inference methods for models of conditional quantiles:
Linear and nonlinear parametric and non-parametric (total variation
penalized) models for conditional quantiles of a univariate response
and several methods for handling censored survival data. Portfolio
selection methods based on expected shortfall risk are also included.


Required to run:
[lang/g95] [math/R] [math/blas] [math/R-SparseM] [math/R-MatrixModels]

Required to build:
[pkgtools/cwrappers]

Master sites: (Expand)


Version history: (Expand)


CVS history: (Expand)


   2017-02-11 00:11:05 by Makoto Fujiwara | Files touched by this commit (2) | Package updated
Log message:
Updated math/R-quantreg  5.21 to 5.29
-------------------------------------
   From: https://cran.r-project.org/web/packages … /ChangeLog
5.21

1.  Allowed ... to be passed in plot.summary.crqs.

2.  Fixed namespace bug in dynrq, and added an Edgeworth wacky AR(1) example
to dynrq.Rd.

3.  Fixed rqss bug about length of residual vector

5.23

1.  Added a "cluster" option for summary.rq() when using the bootstrap \ 
option
this option implements the wild gradient bootstrap method of Hagemann (2016).
See boot.rq for further details.  [Needs further testing.]

2.  Added a sfn method for rq models, and in the process modified somewhat
the return object for both rq.fit.sfn and rq.fit.sfnc so that it is compatible
with other rq.fit objects.

5.24

1.  Reverted to the old fortran versions of srqfn.f and srqfnc.f, ie removed
Martin Maechler's C versions, in preparation for some new sparse forms of the
bootstrapping functions.  Made a couple of slight changes in the return object
for these functions.

2.  Fixed a sihttps://cran.r-project.org/web/packages/quantreg/ChangeLoggn error \ 
in the cluster option pointed out in an email of
Andreas on May 9 2016.

3.  Added jackknife option to boot.rq for the proposal of Portnoy.

4.  Adapted boot.rq and friends so that when there are multiple taus
summary.rqs reuses the same randomization  for each of the taus to facilitate
joint inference with the bootstrap realizations.

5.25

1.  When method = "sfn"  store model$x in sparse form.  Then when
bootstrapping use method = "sfn" rather than the usual "br" \ 
method.

2.  When using the "cluster" option for bootstrap allow \ 
"sfn" as above.

3.  When na.action = "omit"  and length(fit$na.action) > 0, then omit
these values from the strata indicator "cluster".  This would seem to
help bring together the survey package and quantreg as desired by
email correspondance with donald706.

5.26

1.  Fixed long line per Kurt's suggestion.

2.  Added some comments about method "sfn" in the man page for rq.

5.27

1.  removed lines that cat'd taus from rqprocess in the khmal.R

2.  fixed environment problem in nlrq, according to suggestion of
Vaidotas Zemlys-Balevicius email August 9 2016.

5.28

1.  Cleaned up the fortran source a bit in accordance with Kurt's mandate
of late August 2016.  There are still some offensive items mainly in crq.f
that should be dealt with, but I wasn't able to dig into this at the moment.
   2016-04-09 13:08:45 by Wen Heping | Files touched by this commit (2) | Package updated
Log message:
Update to 5.21

Upstream changes for 5.20:
5.20

1.  Added FAW to the rq.Rd see also list at the suggestion of Terry Therneau.

No changelog for 5.21 found.
   2016-01-01 12:47:40 by Wen Heping | Files touched by this commit (3)
Log message:
Import quantreg-5.19 as math/R-quantreg.

Estimation and inference methods for models of conditional quantiles:
Linear and nonlinear parametric and non-parametric (total variation
penalized) models for conditional quantiles of a univariate response
and several methods for handling censored survival data. Portfolio
selection methods based on expected shortfall risk are also included.