The R package qboost provides an implementation of boosting with the smoothed check loss function.
TODO: Add Article from arXiv
Documentation and Maintenance
Documentation of functions in R: Documentation
qboost is currently maintained by @SvenKlaassen.
Installation
To install development version from GitHub, run the following commands:
# install.packages("devtools")
remotes::install_github("SvenKlaassen/qboost")References
He, Xuming, et al. “Smoothed quantile regression with large-scale inference.” arXiv preprint arXiv:2012.05187 (2020). Paper
Belloni, Alexandre, and Victor Chernozhukov. “ℓ1-penalized quantile regression in high-dimensional sparse models.” The Annals of Statistics 39.1 (2011): 82-130. Paper
Fernandes, Marcelo, Emmanuel Guerre, and Eduardo Horta. “Smoothing quantile regressions.” Journal of Business & Economic Statistics 39.1 (2021): 338-357. Paper
