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hdqr (version 1.0.2)

Fast Algorithm for Penalized Quantile Regression

Description

Implements an efficient algorithm for fitting the entire regularization path of quantile regression models with elastic-net penalties using a generalized coordinate descent scheme. The framework also supports SCAD and MCP penalties. It is designed for high-dimensional datasets and emphasizes numerical accuracy and computational efficiency. This package implements the algorithms proposed in Tang, Q., Zhang, Y., & Wang, B. (2022) .

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Version

Install

install.packages('hdqr')

Monthly Downloads

159

Version

1.0.2

License

GPL-2

Maintainer

Qian Tang

Last Published

September 26th, 2025

Functions in hdqr (1.0.2)

cv.hdqr

Cross-validation for Selecting the Tuning Parameter in Penalized Quantile Regression
predict.cv.hdqr

Make Predictions from a `cv.hdqr` Object
coef.cv.nc.hdqr

Extract Coefficients from a cv.nc.hdqr Object
coef.hdqr

Extract Model Coefficients from a hdqr Object
coef.cv.hdqr

Extract Coefficients from a `cv.hdqr` Object
predict.cv.nc.hdqr

Make Predictions from a cv.nc.hdqr Object
coef.nc.hdqr

Extract Model Coefficients from a nc.hdqr Object
predict.hdqr

Make Predictions from a hdqr Object
predict.nc.hdqr

Make Predictions from a nc.hdqr Object
cv.nc.hdqr

Cross-validation for Selecting the Tuning Parameter of Nonconvex Penalized Quantile Regression
nc.hdqr

Solve the Penalized Quantile Regression with Nonconvex Penalties
hdqr

Fit the high-dimensional linear quantile regression with elasticnet regularization. The solution path is computed at a grid of values of tuning parameter lambda.