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)
|Author||Bo Peng [aut, cre], Rondall E. Jones [ctb], John A. Wisniewski [ctb]|
|Date of publication||2017-04-18 07:48:02 UTC|
|Maintainer||Bo Peng <[email protected]>|
|Package repository||View on CRAN|
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