QR.ip: Quantile Regression (QR) use Interior Point (ip) Method

In cqrReg: Quantile, Composite Quantile Regression and Regularized Versions

Quantile Regression (QR) use Interior Point (ip) Method

Description

The function use the interior point method from quantreg to solve the quantile regression problem.

Usage

QR.ip(X,y,tau)

Arguments

X	the design matrix
y	response variable
tau	quantile level

Value

a list structure is with components

beta	the vector of estimated coefficient
b	intercept

Note

Need to install quantreg package from CRAN.

References

Koenker, Roger. Quantile Regression, New York, 2005. Print.

Koenker, R. and S. Portnoy (1997). The Gaussian Hare and the Laplacian Tortoise: Computability of squared-error vs. absolute-error estimators, with discussion, Statistical Science, 12, 279-300.

Examples

set.seed(1)
n=100
p=2
a=rnorm(n*p, mean = 1, sd =1)
x=matrix(a,n,p)
beta=rnorm(p,1,1)
beta=matrix(beta,p,1)
y=x%*%beta-matrix(rnorm(n,0.1,1),n,1)
# x is 1000*10 matrix, y is 1000*1 vector, beta is 10*1 vector
#you should install Rmosek first to run following command
#QR.ip(x,y,0.1)

cqrReg documentation built on June 7, 2022, 9:06 a.m.