siqr: Main estimation function of single index quantile regression...

In siqr: An R Package for Single-Index Quantile Regression

Description

Main estimation function of single index quantile regression model. a two step method.

Usage

siqr(y, X, tau = 0.5, beta.initial = NULL, h = NULL, maxiter = 30, tol = 1e-08)

Arguments

y	response vector;
X	covariate matrix;
tau	left-tail probability (quantile index), scalar
beta.initial	starting value of beta, the single index coefficients
h	user-defined bandwidth
maxiter	max iteration number
tol	toleration for convergence

Value

a siqr object, which includes: beta - the fitted single index coefficients with unit norm and first component being non negative flag.conv - whether the iterations converge

Examples

#generate data
set.seed(2021)
data <- generate.data(50)
X <- data$X
y0<- data$Y

#initials
beta0 <- NULL
#quantile
tau = 0.75
siqr.result <- siqr(y0,X,beta.initial = beta0, tau=tau)
summary(siqr.result)

siqr documentation built on Dec. 15, 2021, 1:08 a.m.