Package: mqqr 1.0.0

Merwan Roudane

mqqr: Multivariate Quantile-on-Quantile Regression

Implements Multivariate Quantile-on-Quantile Regression (m-QQR) of Sinha, Ghosh, Hussain, Nguyen and Das (2023) <doi:10.1016/j.eneco.2023.107021>, extending the bivariate Quantile-on-Quantile regression of Sim and Zhou (2015) <doi:10.1016/j.jbankfin.2015.01.013> to include exogenous moderators and controls with optional interaction terms. For each pair of quantile levels (theta of the response and tau of the regressor) the package fits a locally-weighted quantile regression of y on the principal regressor x, a lagged dependent variable, moderators Z and the x*Z interaction terms, using Gaussian kernel weights on the empirical cumulative distribution function (CDF) distance. Bootstrap standard errors and Koenker-Machado pseudo R-squared are reported. Visualisations include 'MATLAB'-style 'Parula' and 'Jet' 3D surfaces, heatmaps and contour plots through 'plotly'.

Authors:Merwan Roudane [aut, cre, cph], Avik Sinha [ctb], Nicholas Sim [ctb], Hongtao Zhou [ctb]

mqqr_1.0.0.tar.gz
mqqr_1.0.0.zip(r-4.7)mqqr_1.0.0.zip(r-4.6)mqqr_1.0.0.zip(r-4.5)
mqqr_1.0.0.tgz(r-4.6-any)mqqr_1.0.0.tgz(r-4.5-any)
mqqr_1.0.0.tar.gz(r-4.7-any)mqqr_1.0.0.tar.gz(r-4.6-any)
mqqr_1.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
mqqr/json (API)
NEWS

# Install 'mqqr' in R:
install.packages('mqqr', repos = c('https://merwanroudane.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/merwanroudane/multiqqr/issues

On CRAN:

Conda:

3.18 score 19 exports 71 dependencies

Last updated from:c516703397. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK177
source / vignettesOK254
linux-release-x86_64OK166
macos-release-arm64OK141
macos-oldrel-arm64OK258
windows-develOK120
windows-releaseOK124
windows-oldrelOK111
wasm-releaseOK121

Exports:bluered_colorsgaussian_kernelmatlab_jet_colorsmqq_exportmqq_regressionmqq_statisticsmqq_to_matrixmqqr_colorscalesmqqr_paletteparula_colorsplot_mqq_3dplot_mqq_contourplot_mqq_heatmapplot_mqq_interactionqq_weightsresolve_colorscalesinha_colorsturbo_colorsweighted_qr

Dependencies:askpassbase64encbslibcachemclicpp11crosstalkcurldata.tabledigestdplyrevaluatefarverfastmapfontawesomefsgenericsggplot2gluegtablehighrhtmltoolshtmlwidgetshttrisobandjquerylibjsonliteknitrlabelinglaterlatticelazyevallifecyclemagrittrMASSMatrixMatrixModelsmemoisemimeopensslotelpillarpkgconfigplotlypromisespurrrquantregR6rappdirsRColorBrewerRcpprlangrmarkdownS7sassscalesSparseMstringistringrsurvivalsystibbletidyrtidyselecttinytexutf8vctrsviridisLitewithrxfunyaml

Readme and manuals

Help Manual

Help pageTopics
mqqr: Multivariate Quantile-on-Quantile Regressionmqqr-package mqqr
Multivariate Quantile-on-Quantile Regressionmqq_regression
Helpers for m-QQR resultsmqq_export mqq_statistics mqq_to_matrix
MATLAB-style and Sinha-paper colour palettesbluered_colors matlab_jet_colors mqqr_colorscales mqqr_palette parula_colors resolve_colorscale sinha_colors turbo_colors
Visualisations for m-QQR Resultsplot_mqq_3d plot_mqq_contour plot_mqq_heatmap plot_mqq_interaction
Numerical building blocks for QQ regressiongaussian_kernel qq_weights weighted_qr