qic.select: Select tuning parameters using IC

In rqPen: Penalized Quantile Regression

Select tuning parameters using IC

Description

Selects tuning parameters using IC. If weights were used for the loss function then same weights will be used in calculating IC.

Usage

qic.select(obj, ...)

Arguments

obj	A rq.pen.seq or rq.pen.seq.cv object.
...	Additional arguments see qic.select.rq.pen.seq() or qic.select.rq.pen.seq.cv() for more information.

Value

Returns a qic.select object.

Author(s)

Ben Sherwood, [e-mail]

References

\insertRef

qrbicrqPen

Examples

set.seed(1)
x <- matrix(runif(800),ncol=8)
y <- 1 + x[,1] + x[,8] + (1+.5*x[,3])*rnorm(100)
m1 <- rq.pen(x,y,penalty="ENet",a=c(0,.5,1),tau=c(.25,.75))
qic.select(m1)

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