分位数回归R软件实现程序(超详细版).pdf

QUANTILE REGRESSION IN R: A VIGNETTE ROGER KOENKER Abstract. Quantile regression is an evolving body of statistical methods for estimating and drawing inferences about conditional quantile functions. An implementation of these methods in the R language is available in the package quantreg. This vignette offers a brief tutorial introduction to the package. R and the package quantreg are open-source software projects and can be freely downloaded from CRAN: . 1. Introduction Beran’s (2003) provocative definition of statistics as “the study of algorithms for data analysis” elevates computational considerations to the forefront of the field. It is apparent that the evolutionary success of statistical methods is to a significant degree determined by considerations of computational convenience. As a result, design and dissemination of statistical software has become an integral part of statistical research. Algorithms are no longer the exclusive purview of the numerical analyst, or the proto-industrial software firm; they are an essential part of the artisanal research process. Fortunately, modern computing has also transformed the software development process and greatly facilitated collaborative research; the massive collective international effort represented by the R project exceeds the most idealistic Marxist imagination. Algorithms have been a crucial part of the research challenge of quantile regres- sion methods from their inception in the 18th century. Stigler (1984) describes an amusing episode in 1760 in which the itinerant Croatian Jesuit Rudjer Boscovich sought computational advice in London regarding his nascent method for median regression. Ironically, a fully satisfactory