rqPen: Penalized Quantile Regression
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 LICENSE |
URL: |
https://github.com/bssherwood/rqpen/blob/master/ignore/rqPenArticle.pdf |
NeedsCompilation: |
yes |
Materials: |
README NEWS |
CRAN checks: |
rqPen results |
Documentation:
Downloads:
Reverse dependencies:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=rqPen
to link to this page.