Time-Adaptive Quantile Regression
Quantile regression is a technique where quantiles can be modeled as a function of known covariates or regressors. In many systems it is reasonable to assume that parameters in the model evolve slowly in time. A software for dealing with such systems is available as a tar file here. The software is written in Matlab and is under development, please read the file “time_adap_qr.pdf” in the tar archive file.