This reply is more than a little late, but I just ran across Frank's question today as I was searching for something else in R-help. And as it happens I was about to incorporate some old code to do "Composite QR" into the quantreg package. This new version has now been uploaded to CRAN so, with some luck, it will be available soonish. The relevant function is rq.fit.hogg so named because Bob Hogg suggested the idea to me in 1984. It turns out to have some interesting applications to portfolio selection that are very briefly described in another new quantreg function qrisk, and the references mentioned in the documentation thereof.
Frank Harrell wrote > April 05, 2013 > > Does anyone know of R functions for doing composite quantile regression > (Hou and Yuan Ann Stat 36:1108, 2008)? The paper's authors do not talk > about software in their paper or on their web sites. > Thanks > Frank -- View this message in context: http://r.789695.n4.nabble.com/Composite-Quantile-Regression-tp4663463p4701590.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
