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 |
| Reference manual: | exdqlm.html , exdqlm.pdf |
| Package source: | exdqlm_1.1.0.tar.gz |
| Windows binaries: | r-devel: exdqlm_1.1.0.zip, r-release: exdqlm_1.1.0.zip, r-oldrel: exdqlm_1.1.0.zip |
| macOS binaries: | r-release (arm64): exdqlm_1.1.0.tgz, r-oldrel (arm64): exdqlm_1.1.0.tgz, r-release (x86_64): exdqlm_1.1.0.tgz, r-oldrel (x86_64): exdqlm_1.1.0.tgz |
| Old sources: | exdqlm archive |
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