rq.fit.post_lasso: Quantile Regression w/ Lasso Penalty

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

Quantile Regression w/ Lasso Penalty

Description

Quantile Regression w/ Lasso Penalty

Usage

rq.fit.post_lasso(
  X,
  y,
  tau,
  lambda,
  weights,
  scale_x = T,
  method = "agd",
  nfold = 5,
  nlambda = 10,
  ...
)

Arguments

X	Design matrix, X
y	outcome variable, y
tau	quantile to estimate
lambda	penalty parameter
weights	optional vector of weights
scale_x	whether to scale the design matrix before estimation
method	method argument to be passed to quantreg::rq
nfold	number of folds to use when cross-validating
nlambda	number of lambdas to search over when cross-validating
...	other arguments to pass to underlying fitting algorithm

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