esreg

Joint Quantile and Expected Shortfall Regression

CRAN Package

Simultaneous modeling of the quantile and the expected shortfall of a response variable given a set of covariates, see Dimitriadis and Bayer (2019) doi:10.1214/19-EJS1560.

  • Version0.6.2
  • R versionunknown
  • LicenseGPL-3
  • Needs compilation?Yes
  • Last release05/13/2023

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  • Imports3 packages
  • Linking To2 packages
  • Reverse Imports1 package