exdqlm: Extended Dynamic Quantile Linear Models
Bayesian quantile-regression routines for dynamic state-space
models and static regression under the extended asymmetric Laplace
(exAL) error distribution. The dynamic state-space models are extended
dynamic quantile linear models (exDQLMs). The package combines dynamic
exDQLM inference via LDVB, MCMC, and legacy ISVB with static exAL
regression via LDVB and MCMC, reduced AL/DQLM paths through fixed
skewness, component builders for trend/seasonality/regression blocks,
static shrinkage priors including ridge, regularized horseshoe, and
'rhs_ns', evidence lower bound diagnostics, optional C++ accelerators,
and posterior predictive synthesis across separately fitted quantiles
through 'quantileSynthesis()'. Dynamic exDQLM methods are described in
Barata et al. (2020) <doi:10.1214/21-AOAS1497>.
| Version: |
0.4.0 |
| Depends: |
R (≥ 3.5) |
| Imports: |
stats, methods, graphics, coda, tictoc, magic, crch, truncnorm, FNN, LaplacesDemon, grDevices, Rcpp, matrixStats, nimble, numDeriv |
| LinkingTo: |
BH, Rcpp, RcppArmadillo, RcppEigen |
| Suggests: |
rmarkdown, testthat (≥ 3.0.0), ggplot2, pkgload, MASS |
| Published: |
2026-05-04 |
| DOI: |
10.32614/CRAN.package.exdqlm |
| Author: |
Raquel Barata [aut, cre],
Raquel Prado [ths],
Bruno Sanso [ths],
Antonio Aguirre [aut] |
| Maintainer: |
Raquel Barata <raquel.a.barata at gmail.com> |
| BugReports: |
https://github.com/AntonioAPDL/exdqlm/issues |
| License: |
MIT + file LICENSE |
| URL: |
https://github.com/AntonioAPDL/exdqlm |
| NeedsCompilation: |
yes |
| SystemRequirements: |
C++17; OpenMP (optional) |
| Materials: |
README, NEWS |
| CRAN checks: |
exdqlm results |
Documentation:
Downloads:
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