rqPen: Penalized Quantile Regression (original) (raw)
Performs penalized quantile regression with LASSO, elastic net, SCAD and MCP penalty functions including group penalties. In addition, offers a group penalty that provides consistent variable selection across quantiles. Provides a function that automatically generates lambdas and evaluates different models with cross validation or BIC, including a large p version of BIC. Below URL provides a link to a work in progress vignette.
| Version: | 4.1.1 |
|---|---|
| Depends: | R (≥ 3.0.0) |
| Imports: | methods, quantreg, hqreg, hrqglas, data.table, Rdpack, lifecycle, plyr, Matrix, Rcpp |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | splines, knitr |
| Published: | 2024-06-04 |
| DOI: | 10.32614/CRAN.package.rqPen |
| Author: | Ben Sherwood [aut, cre], Adam Maidman [aut], Shaobo Li [aut] |
| Maintainer: | Ben Sherwood <ben.sherwood at ku.edu> |
| License: | MIT + file |
| URL: | https://github.com/bssherwood/rqpen/blob/master/ignore/rqPenArticle.pdf |
| NeedsCompilation: | yes |
| Materials: | README |
| CRAN checks: | rqPen results |
Documentation:
Downloads:
Reverse dependencies:
Linking:
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