Extremely fast algorithm "QICD", Iterative Coordinate Descent Algorithm for Highdimensional Nonconvex Penalized Quantile Regression. This algorithm combines the coordinate descent algorithm in the inner iteration with the majorization minimization step in the outside step. For each inner univariate minimization problem, we only need to compute a onedimensional weighted median, which ensures fast computation. Tuning parameter selection is based on two different method: the cross validation and BIC for quantile regression model. Details are described in the Peng,B and Wang,L. (2015) linked to via the URL below with <DOI:10.1080/10618600.2014.913516>.
Package details 


Author  Bo Peng [aut, cre], Rondall E. Jones [ctb], John A. Wisniewski [ctb] 
Maintainer  Bo Peng <[email protected]> 
License  GPL2 
Version  1.1.1 
URL  http://www.tandfonline.com/doi/abs/10.1080/10618600.2014.913516#.VsoKJMrJp8 
Package repository  View on GitHub 
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