CQRCDCPP

<p>Composite quantile regression (cqr) find the estimated coefficient which minimize the absolute error for various quantile level.
   The algorithm base on greedy coordinate descent and Edgeworth's for ordinary \(l_1\) regression.</p>

Estimate quantile regression(QR) and composite quantile regression (cqr) and with adaptive lasso penalty using interior point (IP), majorize and minimize(MM), coordinate descent (CD), and alternating direction method of multipliers algorithms(ADMM).

Jueyu Gao

CQRCDCPP: Composite Quantile Regression (cqr) use Coordinate Descent (cd) Algorithms core computational part

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