DMQ: Dynamic Multiple Quantile (DMQ) Model
Perform estimation, prediction, and simulations using the Dynamic Multiple Quantile model of Catania and Luati (2023) <doi:10.1016/j.jeconom.2022.11.002>. Can be used to estimate a set of conditional time-varying quantiles of a time series that do not cross.
| Version: | 0.1.2 |
| Depends: | R (≥ 3.6.0), Rsolnp, DEoptim, MASS, parallel |
| Imports: | Rcpp (≥ 0.12.17) |
| LinkingTo: | Rcpp, RcppArmadillo |
| Published: | 2023-10-28 |
| DOI: | 10.32614/CRAN.package.DMQ |
| Author: | Leopoldo Catania 
[cre, aut],
Alessandra Luati
[ctb] |
| Maintainer: | Leopoldo Catania <leopoldo.catania at econ.au.dk> |
| License: | GPL-3 |
| NeedsCompilation: | yes |
| Citation: | DMQ citation info |
| Materials: | ChangeLog |
| CRAN checks: | DMQ results [issues need fixing before 2025-09-03] |
Documentation:
| Reference manual: | DMQ.html , DMQ.pdf |
Downloads:
| Package source: | DMQ_0.1.2.tar.gz |
| Windows binaries: | r-devel: DMQ_0.1.2.zip, r-release: DMQ_0.1.2.zip, r-oldrel: DMQ_0.1.2.zip |
| macOS binaries: | r-release (arm64): DMQ_0.1.2.tgz, r-oldrel (arm64): DMQ_0.1.2.tgz, r-release (x86_64): DMQ_0.1.2.tgz, r-oldrel (x86_64): DMQ_0.1.2.tgz |
Linking:
Please use the canonical form https://CRAN.R-project.org/package=DMQ to link to this page.