This R package offers methods for fitting additive quantile regression models based on splines, using the methods described in Fasiolo et al., 2017.
See the vignette for an introduction to the most important functions:
qgamfits an additive quantile regression model to a single quantile. Very similar to
mgcv::gam. It returns an
mqgamfits the same additive quantile regression model to several quantiles. It is more efficient that calling
qgamseveral time, especially in terms of memory.
tuneLearnuseful for tuning the learning rate of the Gibbs posterior. It evaluates a calibration loss function on a grid of values provided by the user.
tuneLearn, but here the learning rate is selected by minimizing the calibration loss using Brent method.