[R] Composite Quantile Regression

RKoenker rkoenker at uiuc.edu
Fri Jan 9 23:28:50 CET 2015

This reply is more than a little late, but I just ran across Frank's question
as I was searching for something else in R-help.  And as it happens I was
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
available soonish.  The relevant function is rq.fit.hogg so named because
Hogg suggested the idea to me in 1984.  It turns out to have some
applications to portfolio selection that are very briefly described in
another new
quantreg function qrisk, and the references mentioned in the documentation 

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

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