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EQRN  

Extreme Quantile Regression Neural Networks for Risk Forecasting
View on CRAN: Click here


Download and install EQRN package within the R console
Install from CRAN:
install.packages("EQRN")

Install from Github:
library("remotes")
install_github("cran/EQRN")

Install by package version:
library("remotes")
install_version("EQRN", "0.1.2")



Attach the package and use:
library("EQRN")
Maintained by
Olivier C. Pasche
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-03-17
Latest Update: 2025-03-17
Description:
This framework enables forecasting and extrapolating measures of conditional risk (e.g. of extreme or unprecedented events), including quantiles and exceedance probabilities, using extreme value statistics and flexible neural network architectures. It allows for capturing complex multivariate dependencies, including dependencies between observations, such as sequential dependence (time-series). The methodology was introduced in Pasche and Engelke (2024) <doi:10.1214/24-AOAS1907> (also available in preprint: Pasche and Engelke (2022) <doi:10.48550/arXiv.2208.07590>).
How to cite:
Olivier C. Pasche (2025). EQRN: Extreme Quantile Regression Neural Networks for Risk Forecasting. R package version 0.1.2, https://cran.r-project.org/web/packages/EQRN. Accessed 24 Oct. 2026.
Previous versions and publish date:
0.1.1 (2025-03-17 21:40), (2026-07-09 08:02)
Other packages that cited EQRN R package
View EQRN citation profile
Other R packages that EQRN depends, imports, suggests or enhances
Complete documentation for EQRN
Functions, R codes and Examples using the EQRN R package
Full EQRN package functions and examples
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