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rqPen

Penalized Quantile Regression

Installation

About

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.

github.com/bssherwood/rqpen/blob/master/ignore/rqPenArticle.pdf

Key Metrics

Version 4.1.1
R ≥ 3.0.0
Published 2024-06-04 130 days ago
Needs compilation? yes
License MIT
License File
CRAN checks rqPen results

Downloads

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Last 7 days 147 -38%
Last 30 days 769 -11%
Last 90 days 2.403 -23%
Last 365 days 10.197 +6%

Maintainer

Maintainer

Ben Sherwood

Authors

Ben Sherwood

aut / cre

Adam Maidman

aut

Shaobo Li

aut

Material

README
NEWS
Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

rqPen archive

Depends

R ≥ 3.0.0

Imports

methods
quantreg
hqreg
hrqglas
data.table
Rdpack
lifecycle
plyr
Matrix
Rcpp

Suggests

splines
knitr

LinkingTo

Rcpp
RcppArmadillo

Reverse Imports

evalITR
MTE
WpProj