Inspired by "Chernozhukov, V., Hansen, C., & Jansson, M. (2009). Finite sample inference for quantile regression models. Journal of Econometrics, 152(2), 93-103".
This repository is a python implementation of the algorithm described in this paper. We didn't implement the marginal approach, but we created a context to test the main part of this algorithm.
To run and compute non asymptotic quantile regression, please use the function Final_Regression(), which uses the packages stats models and numpy.
Please read the article for more information.
For any question or advice, please send us an email at antandre.martin@gmail.com.