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 |
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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:
Please use the canonical formhttps://CRAN.R-project.org/package=rqPento link to this page.