qdfauction: Nonparametric Quantile Density Estimation and Structural Analysis of First-Price Auctions
Nonparametric estimators of the quantile density function (the derivative of the quantile function): kernel, boundary-corrected kernel, Poisson-weight and Bernstein-polynomial smoothers, indirect estimators (Jones (1992) <https://www.ism.ac.jp/editsec/aism/pdf/044_4_0721.pdf>; Soni, Dewan and Jain (2012) <doi:10.1016/j.csda.2012.04.014>; Chaubey, Dewan and Li (2024) <doi:10.1080/03610926.2023.2222922>), and linear, hard-thresholded and block-thresholded wavelet estimators (Chesneau, Dewan and Doosti (2016) <doi:10.1016/j.csda.2015.08.006>; Shirazi and Doosti (2022) <doi:10.1080/03610918.2019.1656250>), with smoothing parameters chosen by biased, robust likelihood (Wu (2019) <doi:10.1080/07350015.2018.1424633>) or least-squares cross-validation. The estimators are applied to the structural analysis of first-price sealed-bid auctions: recovery of private values for independent or affiliated values and risk-neutral or risk-averse bidders (Doosti, Dewan and Talebian (2025) <doi:10.1016/j.econlet.2025.112670>; Doosti (2026) <doi:10.1016/j.econlet.2026.112837>), estimation of the private-value density with kernel benchmarks (Hickman and Hubbard (2015) <doi:10.1002/jae.2385>; Marmer and Shneyerov (2012) <doi:10.1016/j.jeconom.2011.09.020>; Zincenko (2024) <doi:10.1016/j.jeconom.2024.105734>) and confidence bands (Ma, Marmer and Shneyerov (2019) <doi:10.1016/j.jeconom.2019.02.006>), and estimation of the seller's expected revenue and optimal reserve price, with tools for simulating equilibrium bids and comparing estimators.
| Version: | 0.2.0 |
| Depends: | R (≥ 4.1) |
| Imports: | stats, splines, utils, graphics, grDevices |
| Suggests: | testthat (≥ 3.1.7), knitr, rmarkdown |
| Published: | 2026-10-22 |
| DOI: | 10.32614/CRAN.package.qdfauction |
| Author: | Hassan Doosti 
[aut, cre, cph] (affiliation: School of Mathematical and Physical
Sciences, Macquarie University),
Yogendra P. Chaubey [ctb, cph] (original R code of the quantile density
estimators and cross-validation criteria, revised and vectorised in
R/estimators.R and R/bandwidth.R),
Isha Dewan [ctb, cph] (original R code of the quantile density
estimators and cross-validation criteria, revised and vectorised in
R/estimators.R and R/bandwidth.R),
Jun Li [ctb, cph] (original R code of the quantile density estimators
and cross-validation criteria, revised and vectorised in
R/estimators.R and R/bandwidth.R),
Brent R. Hickman [ctb, cph] (original MATLAB implementation of the
boundary-corrected kernel density estimator, translated to R in
kde_hh()),
Timothy P. Hubbard [ctb, cph] (original MATLAB implementation of the
boundary-corrected kernel density estimator, translated to R in
kde_hh()),
Brani Vidakovic [ctb, cph] (original MATLAB routines Phijk, dwtr, Idwtr
and loc_lin, translated to R in scaling_function(), phi_jk(),
dwt_periodic(), idwt_periodic() and loclin_smooth()),
Vadim Marmer [ctb, cph] (original MATLAB implementation of the
quantile-based estimator, translated to R in
density_marmer_shneyerov(); reference implementation used to
validate fpa_density_ci()),
Jun Ma [ctb] (reference implementation of inference for the GPV
estimator, used to validate fpa_density_ci()),
Artyom Shneyerov [ctb, cph] (original MATLAB implementation of the
quantile-based estimator, translated to R in
density_marmer_shneyerov()),
Federico Zincenko [ctb, cph] (original implementation of the kernel
estimator of private values with boundary extrapolation, adapted in
fpa_values(method = 'zincenko')) |
| Maintainer: | Hassan Doosti <Hassan.doosti at mq.edu.au> |
| BugReports: | https://github.com/DoostiH/qdfauction/issues |
| License: | GPL (≥ 3) |
| Copyright: | see file COPYRIGHTS |
| URL: | https://github.com/DoostiH/qdfauction |
| NeedsCompilation: | no |
| Materials: | NEWS |
| CRAN checks: | qdfauction results |
Documentation:
| Reference manual: | qdfauction.html , qdfauction.pdf |
| Vignettes: |
Structural analysis of first-price auctions with qdfauction: the USFS timber data (source, R code) |
Downloads:
| Package source: | qdfauction_0.2.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: qdfauction_0.1.0.zip, r-oldrel: qdfauction_0.1.0.zip |
| macOS binaries: | r-release (arm64): not available, r-oldrel (arm64): not available, r-release (x86_64): qdfauction_0.2.0.tgz, r-oldrel (x86_64): not available |
| Old sources: | qdfauction archive |
Linking:
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