regressResiduals: Runs quantile regression on residuals of the model...

In be-green/quantspace: Quantile Regression via Quantile Spacing

Runs quantile regression on residuals of the model (calculates spaces around jstar quantile)

Description

Runs quantile regression on residuals of the model (calculates spaces around jstar quantile)

Usage

regressResiduals(
  reg_spec_data,
  ehat,
  ind_hat,
  tau,
  trunc,
  small,
  weights,
  algorithm = "rq.fit.sfn_start_val",
  ...
)

Arguments

reg_spec_data	result of ensureSpecRank function; regression matrix with full rank
ehat	current residuals; subset of which to be used as dependent column
ind_hat	column vector indicating which rows to be used in quantile regression
tau	estimated quantile
trunc	Boolean value; if true, replace those dependent values less than small with small itself; else, only use rows with residuals greater than small
small	Value used with trunc; values less than small 'blow up' too greatly when logged
weights	vector of optional weights
algorithm	The name of a function which will estimate a quantile regression. Defaults to rq.fit.sfn_start_val. Must be a string, as it is passed to do.call
...	other arguments to the function specified by the algorithm argument

Value

List of estimated coefficients, warnings, iterations, and controls as in standard quantile regression function

be-green/quantspace documentation built on March 20, 2024, 5:30 p.m.