bssherwood / rqpen
Penalized Quantile Regression
☆15Updated 2 months ago
Alternatives and similar repositories for rqpen:
Users that are interested in rqpen are comparing it to the libraries listed below
- R package for Mixed-Frequency Bayesian VARs☆40Updated 3 years ago
- Convolution-type Smoothed Quantile Regression☆21Updated 2 years ago
- R package to estimate time-varying coefficient regressions☆19Updated last year
- R/C++ implementation of Bayes VAR models☆18Updated 5 years ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆17Updated 6 months ago
- Dynamic Factor Models for R☆35Updated last month
- Sensitivity analysis tools for causal ML☆16Updated last week
- R package for fast rolling and expanding linear regression models☆22Updated 3 years ago
- statespacer: State Space Modelling in R☆15Updated 2 years ago
- Forecast uncertainty based on model averaging☆9Updated 3 years ago
- R package for doubly robust estimates of causal effects in high-dimensions using flexible Bayesian methods☆26Updated 5 months ago
- tsDyn☆34Updated 6 months ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆29Updated 4 months ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 9 years ago
- R Package for data driven SVAR identification of impulse response functions☆48Updated 2 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- R package to implement high-dimensional confounding adjustment using continuous spike and slab priors☆10Updated 5 years ago
- This package provides functions for computing One-Sided Dynamic Principal Components, a novel multivariate time series dimension reductio…☆9Updated last year
- Univariate GARCH models in R☆26Updated 4 months ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆34Updated 7 months ago
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- Bayesian Multivariate GARCH☆18Updated 6 months ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆32Updated 6 months ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆27Updated last year
- An R Package for Change Point Localisation☆12Updated last year
- R Package for Auto Regressive Distributed Lag time series regression.☆17Updated 2 years ago
- Time series forecasting with Lasso-type shrinkage methods☆13Updated 7 months ago
- Expected Shortfall Backtesting☆12Updated last year
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆12Updated 4 years ago
- Multivariate Time Series Models: VAR, SVAR and SVEC☆43Updated 3 years ago