I am building a MonteCarlo simulation to compare the performance of Least Squares and Quantile Regressions. To automate the notebook, I need to be able to extract the parameters from the regressions. For the Least Squares method, I can run a LinearModelFit and use the property [“BestFitParameters”].
For Quantile Regressions, I run the QuantileRegressionFit from the package below (written by Anton Antonov - Quantile regression Mathematica package, source code at GitHub, [MathematicaForPrediction][1], package QuantileRegression.m, (2013)).
However, the function doesn’t come with the same property, [“BestFitParameters”], so I don’t know how to extract the parameters.
Can anyone help me with extracting the optimal parameters for the QuantileRegressionFit function?
I contacted the author of this package (Anton Antonov) and not only did he reply in very short notice, he was kind to offer a solution, to which I post the code below.
If you are interested in learning how the QuantileRegressionFit function works, check out Anton’s GitHub.