R/robust_g.R

In pqrBayes: Bayesian Penalized Quantile Regression

Robust_g <- function(g, y, e, d, quant, iterations,sparse, hyper,debugging){
  
  p = dim(g)[2]
  
  x = cbind(1,g)
  n = length(y); 
  
  if(!is.null(e)){
    q = dim(e)[2]
    invSigAlpha0 = diag(10^-3, (1+q))
    hatAlpha = rep(1,(1+q))
    w = cbind(1,e)
  }else{
    q = 0
    hatAlpha=rep(1,1)
    invSigAlpha0 = diag(10^-3, 1)
    w = matrix(1,n,1)
  }
  
  xi1 = (1-2*quant)/(quant*(1-quant))
  xi2 = sqrt(2/(quant*(1-quant)))
  hatBeta= matrix(rep(1,p),ncol = p/d)
  hatSg=rep(1,p/d)
  hatTau = 1
  hatV = rep(1,n) 
  hatEtaSq = 1
  hatPi = 0.5
  
  sh0_1 = ifelse(is.null(hyper$a0), 1, hyper$a0)
  sh0_0 = ifelse(is.null(hyper$b0), 1, hyper$b0)
  
  a = ifelse(is.null(hyper$c1), 1, hyper$c1)
  b = ifelse(is.null(hyper$c2), 1, hyper$c2)
  
  r = ifelse(is.null(hyper$d2), 1, hyper$d2)
  
  progress = ifelse(debugging, 10^(floor(log10(iterations))-1), 0)
  if(sparse){
    fit=BRGL_SS(g, y, w, p/d, d, iterations, hatAlpha, hatBeta, hatTau, hatV, hatSg, invSigAlpha0, hatPi, hatEtaSq,
                xi1, xi2, r, a, b, sh0_1, sh0_0, progress)
  }
  else{fit= BRGL(g, y, w, p/d, d, iterations, hatAlpha, hatBeta, hatTau, hatV, hatSg, invSigAlpha0, hatEtaSq,
                 xi1, xi2, r, a, b, progress)
  }
  out = list(fit=fit,iterations=iterations)
  return(out)
}