mqqr

1.0.0

Multivariate Quantile-on-Quantile Regression

0packages depend

641downloads / year

46.3%test coverage

12/13checks pass

Overview

About

Maintained by Merwan RoudaneFirst published 2026-06-011 releasesCRAN page ↗GitHub ↗

Implements Multivariate Quantile-on-Quantile Regression (m-QQR) of Sinha, Ghosh, Hussain, Nguyen and Das (2023) doi:10.1016/j.eneco.2023.107021, extending the bivariate Quantile-on-Quantile regression of Sim and Zhou (2015) doi:10.1016/j.jbankfin.2015.01.013 to include exogenous moderators and controls with optional interaction terms. For each pair of quantile levels (theta of the response and tau of the regressor) the package fits a locally-weighted quantile regression of y on the principal regressor x, a lagged dependent variable, moderators Z and the x*Z interaction terms, using Gaussian kernel weights on the empirical cumulative distribution function (CDF) distance. Bootstrap standard errors and Koenker-Machado pseudo R-squared are reported. Visualisations include 'MATLAB'-style 'Parula' and 'Jet' 3D surfaces, heatmaps and contour plots through 'plotly'.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("mqqr", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("merwanroudane/multiqqr")

Development version from merwanroudane/multiqqr. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-mqqr

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-mqqr

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-mqqr

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

1NOTE12OK

Failing flavors

NOTE r-devel-linux-x86_64-debian-gcc

Slowest check: 3.4 min · r-release-macos-x86_64

Code health

Yes

Tests · ratio 0.03

46.3%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

NOTE2026-08-01
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-06-09
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-06-08
12 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
OK2026-06-02
7 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesNopkgdown siteNoNEWSYes · 67% structuredCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 78%
Return-value docs: 100%
References docs: 17%

Downloads

641

CRAN downloads in the past year

Rank #16,558 · ~2/day · ~53/mo

Releases R versions

Daily download trend is not available in this view yet.

16630 days

64190 days

6411 year

Compare downloads with other packages →

Also on12 r2u

Repository

GitHub ↗ merwanroudane/multiqqr

1Stars

0Forks

0Open issues

0Open PRs

0Releases

4Commits

1Contributors

4 commits · Last activity 2026-06-01

Repository practices

Upstream repositoryBeta

1 development-tooling and community-health practice detected across 1 family in the upstream repository

Checks run against github.com/merwanroudane/multiqqr on 2026-08-02.

CRAN release process (1)

cran-comments.md

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

5 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.5.0

Imports (5)

quantreg plotlystatsutilsgrDevices

LinkingTo (0)

none

Suggests (3)

knitr rmarkdown testthat

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

People & History

People (4)

Maintainer (1)

Merwan Roudane

Author, Maintainer, Copyright holder

Authors (1)

Merwan Roudane

Author, Maintainer, Copyright holder

Contributors (3)

Contributor

Contributor

Contributor

Author, Maintainer, Copyright holder

Package Timeline

1 release. R releases are shown for context.

1.0.0Latest
2026-06-01 · current release
R
R 4.6.0 released · 2026-04-24

Package metadata

First published: 2026-06-01
Total releases: 1 / 1 yrs
License: GPL-3 OSI
Minimum R: ≥ 3.5.0
Download size: not tracked yet
Installed size: not tracked yet
With dependencies: not tracked yet

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