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Quant analytics: Is there any good articles to write code for Quantile regression??

(Last Updated On: November 30, 2011)

Quant analytics: Is there any good articles to write code for Quantile regression??

i am trying to write code for quantile regression.how to deal with the objective function
as we have two parts in objective function one is for positive residuals and another is for negative residuals.
as the objective function is of following form).
t(positive residuals)+(1-t)negative residuals if t is the quantile valu between 0 and 1
Thanks In advance

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You can refer to this link for how objective functions can be defined
http://www.econ.uiuc.edu/~roger/research/rq/QRComputation.pdf
and “quantreg” package from¬†http://cran.r-project.org/web/packages/ for more information.

 

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The main book on this subject (as you may already know) is probably Quantile Regression by Roger Koenker.

 

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thank u for ur quick reply,sir but i am i unable to understand that pdf as i am new to R.can u suggest me any other links about quantile regression.

 

 

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