Description Usage Arguments Details Value References
This function estimates the power transformation parameter at a single given quantile level
1 | PowT.1tau.func(y, x, tau, lams = seq(-2, 2, 0.1), a)
|
y |
a vector of length n representing the response |
x |
a n x p matrix of n observations and p predictors |
tau |
the quantile level of interest |
lams |
a set of transformation parameters for grid search |
a |
the location shift |
This function estimates the transformation parameter lam following the estimation method in Mu and He (2007) such that the conditional quantile of the transformed response is linear in covariates. The transformed response is defined as
Λ(y) = {(y+a)^λ-1}λ, if λ \neq 0; =log(y+a) if λ=0.
A list is returned with the following components
lam: the estimated transformation parameter
coef: the estimated quantile coefficient from the power-transformed linear quantile regression
Mu, Y. and He, X. (2007). Power transformation toward a linear regression quantile. Journal of the American Statistical Association, 102, 269-279.
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