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rqPen: Penalized Quantile Regression
Performs penalized quantile regression with LASSO, elastic net, SCAD and MCP penalty functions including group penalties. In addition, offers a group penalty that provides consistent variable selection across quantiles. Provides a function that automatically generates lambdas and evaluates different models with cross validation or BIC, including a large p version of BIC. Below URL provides a link to article in the R Journal.
Getting started
Browse package contents
Package details |
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| Author | Ben Sherwood [aut, cre], Shaobo Li [aut], Adam Maidman [aut] |
| Maintainer | Ben Sherwood <ben.sherwood@ku.edu> |
| License | MIT + file LICENSE |
| Version | 4.2 |
| URL | https://journal.r-project.org/articles/RJ-2025-017/ |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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