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.

Author
Ben Sherwood [aut, cre], Adam Maidman [ctb]
Date of publication
2016-11-05 00:45:07
Maintainer
Ben Sherwood <ben.sherwood@ku.edu>
License
MIT + file LICENSE
Version
1.5.1

View on CRAN

Man pages

beta_plots
Plots of Betas
check
Quantile check function
coef.cv.rq.group.pen
Group Penalized Quantile Regression Coefficients
coef.cv.rq.pen
Penalized Quantile Regression Coefficients
cv_plots
Plots of Cross-validation results
cv.rq.group.pen
Cross Validated quantile regression with group penalty
cv.rq.pen
Cross Validated quantile regression
getRho
Objective Function Value
group_derivs
Derivative of a group penalty
groupMultLambda
Quantile Regression with Group Penalty for multiple lambdas
groupQICD
Quantile Regression with Group Penalty using QICD algorithm
kernel_estimates
Kernel based estimates of Y|X
kernel_weights
Nonparametric estimate of IPW weights
lasso
Lasso
mcp
MCP
mcp_deriv
MCP Derivative
model_eval
Model Evaluation
nonzero
Nonzero
nonzero.cv.rq.group.pen
Nonzero
plot.cv.rq.group.pen
Plot cv.rq.group.pen
pos_part
Positive part
predict.cv.rq.pen
Prediction from a cv quantile regression penalized model
predict.rq.pen
Prediction from a quantile regression penalized model
print.cv.rq.pen
Print cv.rq.pen object
print.rq.pen
Print rq.pen object
qbic
Quantile Regresion BIC
QICD
QICD Algorithm for Nonconvex Penalized Quantile Regression
randomly_assign
Randomly Assign
rq.group.fit
Quantile Regresion with Group Penalty
rq.group.lin.prog
Quantile Regresion with Group Penalty using linear...
rq.lasso.fit
Quantile Regression with LASSO penalty
rq.lasso.fit.mult
Fit Quantile Regression model for varying quantiles with...
rq.nc.fit
Non-convex penalized quantile regression
scad
scad
scad_deriv
SCAD Derivative
square
Square function

Files in this package

rqPen
rqPen/src
rqPen/src/Makevars
rqPen/src/rqbr.f
rqPen/src/xssort.f
rqPen/src/rqfnb.f
rqPen/src/QCD.cpp
rqPen/NAMESPACE
rqPen/NEWS
rqPen/R
rqPen/R/Adamsfunc.R
rqPen/R/mainFunctions.R
rqPen/R/workHorse.R
rqPen/MD5
rqPen/DESCRIPTION
rqPen/man
rqPen/man/rq.nc.fit.Rd
rqPen/man/rq.lasso.fit.Rd
rqPen/man/cv.rq.group.pen.Rd
rqPen/man/kernel_estimates.Rd
rqPen/man/kernel_weights.Rd
rqPen/man/groupQICD.Rd
rqPen/man/getRho.Rd
rqPen/man/mcp_deriv.Rd
rqPen/man/beta_plots.Rd
rqPen/man/lasso.Rd
rqPen/man/pos_part.Rd
rqPen/man/rq.group.fit.Rd
rqPen/man/square.Rd
rqPen/man/randomly_assign.Rd
rqPen/man/print.rq.pen.Rd
rqPen/man/nonzero.cv.rq.group.pen.Rd
rqPen/man/mcp.Rd
rqPen/man/group_derivs.Rd
rqPen/man/check.Rd
rqPen/man/model_eval.Rd
rqPen/man/scad.Rd
rqPen/man/nonzero.Rd
rqPen/man/coef.cv.rq.pen.Rd
rqPen/man/rq.lasso.fit.mult.Rd
rqPen/man/coef.cv.rq.group.pen.Rd
rqPen/man/QICD.Rd
rqPen/man/cv_plots.Rd
rqPen/man/predict.cv.rq.pen.Rd
rqPen/man/print.cv.rq.pen.Rd
rqPen/man/predict.rq.pen.Rd
rqPen/man/plot.cv.rq.group.pen.Rd
rqPen/man/scad_deriv.Rd
rqPen/man/rq.group.lin.prog.Rd
rqPen/man/cv.rq.pen.Rd
rqPen/man/qbic.Rd
rqPen/man/groupMultLambda.Rd
rqPen/LICENSE