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.

AuthorBen Sherwood [aut, cre], Adam Maidman [ctb]
Date of publication2016-11-05 00:45:07
MaintainerBen Sherwood <ben.sherwood@ku.edu>
LicenseMIT + file LICENSE

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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