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.
- Version4.1.2
- R version≥ 3.0.0
- LicenseMIT
- Licensefile LICENSE
- Needs compilation?Yes
- Last release10/29/2024
Documentation
Team
Ben Sherwood
Shaobo Li
Show author detailsRolesAuthorAdam Maidman
Show author detailsRolesAuthor
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- Depends1 package
- Imports10 packages
- Suggests2 packages
- Linking To2 packages
- Reverse Imports3 packages