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 Laplace-delta variational Bayes (LDVB), Markov
chain Monte Carlo (MCMC), and legacy importance-sampling variational Bayes
(ISVB) with static exAL regression via LDVB and MCMC, reduced asymmetric
Laplace/dynamic quantile linear model (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 (ELBO) 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: |
1.1.0 |
| Depends: |
R (≥ 3.5) |
| Imports: |
stats, methods, graphics, coda, tictoc, magic, crch, truncnorm, LaplacesDemon, grDevices, Rcpp, matrixStats, nimble, numDeriv |
| LinkingTo: |
BH, Rcpp, RcppArmadillo, RcppEigen |
| Suggests: |
rmarkdown, testthat (≥ 3.0.0), ggplot2, pkgload, MASS |
| Published: |
2026-07-09 |
| 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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