Wolfram Language (aka Mathematica) paclet that provides various Quantile Regression functions.
QuantileRegressionworks on time series, lists of numbers and lists of numeric pairs.- The curves computed with quantile regression are called regression quantiles.
- The regression quantiles corresponding to the specified probabilities are linear combinations of B-splines generated over the specified knots.
- In other words,
QuantileRegressioncomputes fits using a B-spline functions basis. The basis is specified with the knots argument and the optionInterpolationOrder. QuantileRegressiontakes the following options:
| Option | Default value | Description |
|---|---|---|
| InterpolationOrder | 3 | interpolation order |
| LinearProgramming | Method | method for the quantile regression computations |
QuantileRegressionFitis very similar to QuantileRegression but uses a given list of basis functions.QuantileEnvelopeprovides experimental implementation of quantile envelopes points finding.QuantileEnvelopeRegionprovides experimental implementation of 2D or 3D quantile envelope region finding.NURBSBasisgives a basis of NURBS functions.
[Wk1] Wikipedia entry, Quantile regression.
[Wk2] Wikipedia entry, NURBS.
[AA1] Anton Antonov, "Quantile regression through linear programming", (2013), MathematicaForPrediction at WordPress.
[AA2] Anton Antonov, "Quantile regression with B-splines"m (2014), MathematicaForPrediction at WordPress.
[AAv1] Anton Antonov, "Quantile Regression—Theory, Implementations, and Applications", (2014), Wolfram channel at YouTube.