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

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 Peng,B and Wang,L. (2015) <DOI:10.1080/10618600.2014.913516>.

Install the latest version of this package by entering the following in R:
install.packages("QICD")
AuthorBo Peng [aut, cre], Rondall E. Jones [ctb], John A. Wisniewski [ctb]
Date of publication2017-04-18 07:48:02 UTC
MaintainerBo Peng <peng0199@umn.edu>
LicenseGPL-2
Version1.2.0
http://www.tandfonline.com/doi/abs/10.1080/10618600.2014.913516#.VsoK-JMrJp8

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Files

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

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