Extremely fast algorithm "QICD", Iterative Coordinate
Descent Algorithm for Highdimensional 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 onedimensional 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)
Package details 


Author  Bo Peng [aut, cre], Rondall E. Jones [ctb], John A. Wisniewski [ctb] 
Date of publication  20170418 07:48:02 UTC 
Maintainer  Bo Peng <[email protected]> 
License  GPL2 
Version  1.2.0 
URL  http://www.tandfonline.com/doi/abs/10.1080/10618600.2014.913516#.VsoKJMrJp8 
Package repository  View on CRAN 
Installation 
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