erboost

Expectile regression is a nice tool for estimating the conditional expectiles of a response variable given a set of covariates. This package implements a regression tree based gradient boosting estimator for nonparametric multiple expectile regression, proposed by Yang, Y., Qian, W. and Zou, H. (2018) doi:10.1080/00949655.2013.876024. The code is based on the 'gbm' package originally developed by Greg Ridgeway.