Path to this page:
./
math/Rquantreg,
Quantile Regression
Branch: CURRENT,
Version: 5.34,
Package name: Rquantreg5.34,
Maintainer: pkgsrcusersEstimation and inference methods for models of conditional quantiles:
Linear and nonlinear parametric and nonparametric (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/lapack] [
math/R] [
math/blas] [
math/RSparseM] [
math/RMatrixModels]
Required to build:[
pkgtools/cwrappers]
Master sites: (Expand)
Version history: (Expand)
 (20180122) Updated to version: Rquantreg5.34
 (20170211) Updated to version: Rquantreg5.29
 (20160409) Updated to version: Rquantreg5.21
 (20160102) Package added to pkgsrc.se, version Rquantreg5.19 (created)
CVS history: (Expand)
20180728 16:40:53 by Brook Milligan  Files touched by this commit (126) 
Log message:
Remove MASTER_SITES= from individual R package Makefiles.
Each R package should include ../../math/R/Makefile.extension, which also
defines MASTER_SITES. Consequently, it is redundant for the individual
packages to do the same. Packagespecific definitions also prevent
redefining MASTER_SITES in a single common place.

20180122 08:35:38 by Wen Heping  Files touched by this commit (2)  
Log message:
Update to 5.34
Upstream changes:
5.30
1. Removed Y argument in crq GRAD subroutine, which seems to be superflous.
5.31
1. Added bag of little bootstraps option to summary.rq. Needs further
testing.
5.32
1. Modified the BLB code to use boot.rq.wxy so that the inner loop was all
in fortran, would be nicer if this loop were done with "fn" rather \
than "br".
See the note in boot.rq above boot.rq.spwy.
2. modified the crq.pdf file to fix a mento in the description of the Peng
Huang algorithm.
5.33
1. Added option to return density estimates from predict.rqs
2. modified rq.fit.fnb to include a rhs input argument.
3. modified boot.crq to properly deal with only one tau requests
and also changed the default for printing progress report to n  100,000.
Both suggested by Steve Portnoy.
4. modified boot.rq so it returns cov(B$B) not cov(B) as reported
by Marco Geraci
5. Fixed bug in anova.rqlist to correct error when "fn" method was used
and no $y component was returned. Reported by Tom LaBone.
6. Fixed bug in summary.rqss  control parameters weren't getting
passed to chol call properly. (Reparted by Geoffrey Shideler (NOAA).)
7. Added init.c to register .Fortran calls and removed the package =
"quantreg" argument.
5.34
1. Fix a bug in rqss to allow control parameters to be passed to rqss.fit
when the method is "lasso" (pointed out by Heracles Apergis.)
2. changed nrow(R) to NROW(R) in rq.fit.hogg thanks to Paul Newell for bug
report.
3. fixed axis label typo in demo engel2.
4. Added Panel.R demo to illustrate fixed effect panel estimation, a la
Galvao job market talk.
5. Some changes to crq.fit.por as suggested by SLP:
line 1: add an input variable mw (the error messages suggest changing mw if
there are problems with resolving degeneracies or trying to pivot too far,
and so it should be possible to do this without getting into the deep part of
the code)
lines 3 and 5: test that x is a matrix and add column names if they are
missing
line 39: define mw so that the fortran constraint is satisfied

20170211 00:11:05 by Makoto Fujiwara  Files touched by this commit (2)  
Log message:
Updated math/Rquantreg 5.21 to 5.29

From: https://cran.rproject.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.rproject.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 ZemlysBalevicius 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.

20160409 13:08:45 by Wen Heping  Files touched by this commit (2)  
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.

20160101 12:47:40 by Wen Heping  Files touched by this commit (3) 
Log message:
Import quantreg5.19 as math/Rquantreg.
Estimation and inference methods for models of conditional quantiles:
Linear and nonlinear parametric and nonparametric (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.
