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qarPI  

Prediction Intervals for Quantile Autoregression
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("qarPI", "0.1.0")



Attach the package and use:
library("qarPI")
Maintained by
Silvia Novo
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-04-21
Latest Update: 2026-04-21
Description:
Provides prediction intervals for classical homoscedastic autoregressive models (AR(p)) and quantile autoregressive models (QAR(p)). The package implements percentile-based and predictive-root-based bootstrap procedures for constructing multi-step-ahead prediction intervals. For more details, see Novo and Sanchez-Sellero (2025) <doi:10.48550/arXiv.2512.22018>.
How to cite:
Silvia Novo (2026). qarPI: Prediction Intervals for Quantile Autoregression. R package version 0.1.0, https://cran.r-project.org/web/packages/qarPI. Accessed 21 Aug. 2026.
Previous versions and publish date:
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