QICD: Implements QICD algorithm

In rqPen: Penalized Quantile Regression

Implements QICD algorithm

Description

Implements QICD algorithm

Usage

QICD(
  y,
  x,
  tau = 0.5,
  lambda,
  intercept = TRUE,
  penalty = "SCAD",
  initial_beta = NULL,
  maxin = 100,
  maxout = 20,
  eps = 1e-05,
  coef.cutoff = 1e-08,
  a = 3.7,
  scalex = TRUE,
  ...
)

Arguments

y	response variable, length n vector
x	input nxp matrix, of dimension nobs x nvars; each row is an observation vector.
tau	the quantile value
lambda	the tuning parameter (numeric value > 0)
intercept	a logical value,should intercept be fitted (default=TRUE) (intercept should be included when using splines)
penalty	The name of the penalty function ("SCAD", "MCP", "LASSO")
initial_beta	Vector containing initial values for intercept (if included) and x coefficients. Should be in the form (intercept, coefficients) intercept should be left out if intercept=FALSE.
maxin	maximum number of iterations for inside coordinate descent,default value is 100
maxout	maximum number of iterations for outside MM step, default value is 20
eps	The convergence threshold for coordinate descent and majorization minimization step
coef.cutoff	Threshold for determining nonzero coefficients
a	Scale parameter, the default value is 3.7 (>2 for SCAD, >1 for MCP, not used in LASSO)
scalex	Whether predictors are centered and scaled
...	additional parameters

rqPen documentation built on Aug. 25, 2023, 1:07 a.m.