QICD: Estimate the Coefficients for Non-Convex Penalized Quantile Regression Model by using QICD Algorithm

Share:

Extremely fast algorithm "QICD", Iterative Coordinate Descent Algorithm for High-dimensional Nonconvex Penalized Quantile Regression. This algorithm combines the coordinate descent algorithm in the inner iteration with the majorization minimization step in the outside step. For each inner univariate minimization problem, we only need to compute a one-dimensional weighted median, which ensures fast computation. Tuning parameter selection is based on two different method: the cross validation and BIC for quantile regression model. Details are described in the Peng,B and Wang,L. (2015) linked to via the URL below with <DOI:10.1080/10618600.2014.913516>.

Author
Bo Peng [aut, cre], Rondall E. Jones [ctb], John A. Wisniewski [ctb]
Date of publication
2016-05-30 06:29:37
Maintainer
Bo Peng <peng0199@umn.edu>
License
GPL-2
Version
1.1.1
URLs

View on CRAN

Man pages

allzero
Judge an all zero vector
checkloss
Obtain the checkloss for quantile regression
QBIC
High dimensional BIC for quantile regression model
QICD
Fit a nonconvex penalized quantile regression model
QICD.BIC
BIC for QICD on tuning parameter searching
QICD.cv
Cross-validation for QICD
QICD-package
Estimation of coefficients of nonconvex penalized quantile...

Files in this package

QICD
QICD/inst
QICD/inst/doc
QICD/inst/doc/vignette.Rnw
QICD/inst/doc/vignette.pdf
QICD/inst/doc/vignette-BoPeng-PC.pdf
QICD/inst/doc/vignette-BoPeng-PC.Rnw
QICD/src
QICD/src/xssort.f
QICD/src/QCD.cpp
QICD/NAMESPACE
QICD/R
QICD/R/BIC_QICD.R
QICD/R/cv_QICD.R
QICD/R/QICD.R
QICD/vignettes
QICD/vignettes/vignette.Rnw
QICD/vignettes/QICD.pdf
QICD/vignettes/vignette-BoPeng-PC.Rnw
QICD/MD5
QICD/build
QICD/build/vignette.rds
QICD/build/partial.rdb
QICD/DESCRIPTION
QICD/man
QICD/man/checkloss.Rd
QICD/man/QICD.cv.Rd
QICD/man/allzero.Rd
QICD/man/QICD.BIC.Rd
QICD/man/QICD-package.Rd
QICD/man/QBIC.Rd
QICD/man/QICD.Rd