siqr

Single-Index Quantile Regression is effective in some scenarios. We provides functions that allow users to fit Single-Index Quantile Regression model. It also provides functions to do prediction, estimate standard errors of the single-index coefficients via bootstrap, and visualize the estimated univariate function. Please see W., Y., Y. (2010) doi:10.1016/j.jmva.2010.02.003 for details.

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