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. Below URL provides a link to a work in progress vignette.


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  • Depends1 package
  • Imports10 packages
  • Suggests2 packages
  • Linking To2 packages
  • Reverse Imports3 packages