QICD: Estimate the Coefficients for Non-Convex Penalized Quantile Regression Model by using QICD Algorithm
Version 1.2.0

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) .

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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
URL http://www.tandfonline.com/doi/abs/10.1080/10618600.2014.913516#.VsoK-JMrJp8
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("QICD")

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...

Functions

QBIC Man page Source code
QICD Man page Source code
QICD-package Man page
QICD.BIC Man page Source code
QICD.cv Man page Source code
allzero Man page Source code
checkloss Man page Source code Source code

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
QICD documentation built on May 19, 2017, 12:56 p.m.