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Qreg A GAUSS Library for Computing Quantile Regression Key De nitions and Implementation Damien Jacomy J r me Messines and Thierry Roncalli eo Groupe de Recherche Op rationnelle Cr dit Lyonnais France e August 2000 English version April 2001 Contents 1 Introduction 2 Main topic 3 Introducing M -estimators 3. 1 Background on M -estimators. 3. 2 Quantile regression and M -estimators. 4 Estimation of the parameters by linear programming 4. 1 Reformulation of the problem. 4. 2 Interior-point...
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