rqPen

Penalized Quantile Regression

CRAN Package

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. Work in progress vignette


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  • Imports9 packages
  • Suggests1 package
  • Linking To2 packages
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