mixqrgate: Location-Varying Gating for Mixtures of Quantile Regressions

A companion to the mixqr package that adds a concomitant-covariate, quantile-indexed mixing gate to finite mixtures of quantile regressions. The mixing probabilities follow a multinomial-logit model whose coefficients can depend on gating covariates and on the quantile level, so latent-class membership may change across the conditional distribution – the location-varying mixing idea of Furno (2025), turned into a likelihood/EM object with standard errors on the gate.

Main entry point

• mixqrgate() – fit a gated mixture of quantile regressions.

• sim_gate2() – a two-component design with a location-varying gate.

References

Furno, M. (2025). Finite Mixture at Quantiles and Expectiles. Journal of Risk and Financial Management 18(4), 177.

Wu, Q. and Yao, W. (2016). Mixtures of quantile regressions. Computational Statistics & Data Analysis 93, 162–176.

Grün, B. and Leisch, F. (2008). FlexMix version 2: finite mixtures with concomitant variables and varying and constant parameters. Journal of Statistical Software 28(4), 1–35.

See also

Useful links:

• https://github.com/kvenkita/mixqrgate

• Report bugs at https://github.com/kvenkita/mixqrgate/issues

Author

Maintainer: Kailas Venkitasubramanian kailasv@gmail.com [copyright holder]