Wolfram Language Paclet Repository
Community-contributed installable additions to the Wolfram Language
Quantile Regression functions
Contributed by: Anton Antonov
Various Quantile Regression functions.
To install this paclet in your Wolfram Language environment,
evaluate this code:
PacletInstall["AntonAntonov/QuantileRegression"]
To load the code after installation, evaluate this code:
Needs["AntonAntonov`QuantileRegression`"]
InterpolationOrder | 3 | interepolation order |
Method | LinearProgramming | method for the quantile regression computations |
Make a random signal:
In[1]:= | ![]() |
Compute QuantileRegression with five knots for the probabilities 0.25 and 0.75:
In[2]:= | ![]() |
Here are the formulas of the obtained regression quantiles:
In[3]:= | ![]() |
Out[3]= | ![]() |
Here is a plot of the original data and the obtained regression quantiles:
In[4]:= | ![]() |
Out[4]= | ![]() |
Find the fraction of the data points that are under the second regression quantile:
In[5]:= | ![]() |
Out[5]= | ![]() |
The obtained fraction is close to the second probability, 0.75, given to QuantileRegression.
Here is a quantile regression computation over a numerical vector:
In[6]:= | ![]() |
Out[8]= | ![]() |
Here is a quantile regression computation over a time series object:
In[9]:= | ![]() |
Out[10]= | ![]() |
The second argument—the knots specification—can be an integer specifying the number of knots or a list of numbers specifying the knots of the B-spline basis:
In[11]:= | ![]() |
Wolfram Language Version 13.0