qc: Quantile Correlation

In QCSIS: Sure Independence Screening via Quantile Correlation and Composite Quantile Correlation

Description

qc is used to compute the quantile correlation with given quantiles.

Usage

qc(x, y, tau)

Arguments

x	The covariate variable.
y	The response variable.
tau	The quantile(s) to be estimated.

Value

tau	The quantile(s).
rho	The value of quantile correlation.

Author(s)

Xuejun Ma, Jingxiao Zhang, Jingke Zhou

References

Li et al.. Quantile correlations and quantile autoregressive modeling. Journal of the American Statistical Association,2015,110(509):246–261.

Examples

n   <- 1000
x   <- rnorm(n)
y   <- 2 * x + rt(n,df = 1)
tau <- 1:9 / 10
qc(x = x, y = y, tau = tau)

Example output

$tau
[1] 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9

$rho
[1] 0.2527478 0.4071260 0.4935593 0.5382178 0.5398760 0.5239868 0.4809265
[8] 0.3672950 0.1748530

QCSIS documentation built on May 1, 2019, 9:17 p.m.