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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 a work in progress vignette.
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 | 4.1.3 |
URL | https://github.com/bssherwood/rqpen/blob/master/ignore/rqPenArticle.pdf |
Package repository | View on CRAN |
Installation |
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