Description Usage Arguments Value Author(s) References Examples
A simple function. Return the checkloss for quantile regression.
1 | checkloss(res, tau = 0.5)
|
res |
a numererical vector. |
tau |
quantile parameter in quantile regression |
A checkloss value will be given, which is
ρ_{τ}(u) = u(τ-I(τ < 0))
.
Bo Peng
Peng,B and Wang,L. (2013)An Iterative Coordinate Descent Algorithm for High-dimensional Nonconvex Penalized Quantile Regression, submitted
1 2 |
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