exdqlm: An R Package for Estimation and Analysis of Flexible Dynamic Quantile Linear Models
exdqlm:灵活动态分位数线性模型估计与分析的 R 软件包
We present the R package exdqlm for Bayesian quantile regression, with primary emphasis on dynamic state-space quantile models for time series. The package is built around extended dynamic quantile linear models (exDQLMs), which use the extended asymmetric Laplace (exAL) family, a parametric extension of the asymmetric Laplace (AL) distribution commonly used in quantile regression. The software provides posterior simulation via Markov chain Monte Carlo (MCMC) and fast…