rqPen: Penalized Quantile Regression

Performs penalized quantile regression for LASSO, SCAD and MCP functions including group penalties. Provides a function that automatically generates lambdas and evaluates different models with cross validation or BIC, including a large p version of BIC.

Package details

AuthorBen Sherwood [aut, cre], Adam Maidman [ctb]
MaintainerBen Sherwood <[email protected]>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
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rqPen documentation built on May 30, 2017, 2:02 a.m.