Nothing
CQCSIS <- function(x, y, d) {
p <- dim(x)[2]
n <- dim(x)[1]
tau <- 1:(n-1) / n
k <- length(tau)
psi <- function(x, tau) (tau - I(x < 0))
MCQC <- matrix(0, k, p)
for(i in 1:k) {
ytau <- as.numeric(stats::quantile(y, probs = tau[i]))
psiy <- psi(x = (y - ytau), tau = tau[i])
w <- t(scale(x, center = apply(x, 2, mean), scale = F)) %*% psiy / (n * sqrt(tau[i] - tau[i] ^ 2) * apply(x, 2, stats::sd))
MCQC[i,] <- w
}
w.cqc <- abs(apply(MCQC, 2, mean))
M.cqc <- order(w.cqc, decreasing = T)[1:d]
return(list(w = w.cqc, M = M.cqc))
}
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