rqPen: rqPen: A package for estimating quantile regression models...

In rqPen: Penalized Quantile Regression

rqPen: A package for estimating quantile regression models using penalized objective functions.

Description

The package estimates a quantile regression model using LASSO, Adaptive LASSO, SCAD, MCP, elastic net, and their group counterparts, with the exception of elastic net for which there is no group penalty implementation.

rqPen functions

The most important functions are rq.pen(), rq.group.pen(), rq.pen.cv() and rq.group.pen.cv(). These functions fit quantile regression models with individual or group penalties. The cv functions automate the cross-validation process for selection of tuning parameters.

Author(s)

Maintainer: Ben Sherwood [e-mail]

Authors:

• Shaobo Li

• Adam Maidman

See Also

Useful links:

• https://github.com/bssherwood/rqpen/blob/master/ignore/rqPenArticle.pdf

rqPen documentation built on April 12, 2025, 1:55 a.m.