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rqPen (version 2.2.2)

Penalized Quantile Regression

Description

Performs penalized quantile regression for LASSO, SCAD and MCP functions including group penalties. Provides a function that automatically generates lambdas and evaluates different models with cross validation or BIC, including a large p version of BIC.

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Version

Install

install.packages('rqPen')

Monthly Downloads

654

Version

2.2.2

License

MIT + file LICENSE

Maintainer

Ben Sherwood

Last Published

April 9th, 2020

Functions in rqPen (2.2.2)

group_derivs

Derivative of a group penalty
cv.rq.group.pen

Cross Validated quantile regression with group penalty
cv.rq.pen

Cross Validated quantile regression
cv_plots

Plots of Cross-validation results
getRho

Objective Function Value
groupMultLambda

Quantile Regression with Group Penalty for multiple lambdas
pos_part

Positive part
predict.cv.rq.pen

Prediction from a cv quantile regression penalized model
get_coef_pen

Returns the coefficient part of the penalized objective function
predict.rq.pen

Prediction from a quantile regression penalized model
QICD.group

Group Penalized Quantile Regression with QICD Algorithm
print.cv.rq.pen

Print cv.rq.pen object
print.rq.pen

Print rq.pen object
qaSIS

Quantile Adaptive Sure Independence Screening
nonzero.cv.rq.group.pen

Nonzero
kernel_estimates

Kernel based estimates of Y|X
rq.nc.fit

Non-convex penalized quantile regression
rqPen-package

Penalized quantile regression for LASSO, SCAD, and MCP penalty functions including group penalties
model_eval

Model Evaluation
kernel_weights

Nonparametric estimate of IPW weights
mcp

MCP
mcp_deriv

MCP Derivative
lasso

Lasso
plot.cv.rq.group.pen

Plot cv.rq.group.pen
qbic

Quantile Regresion BIC
rq.lasso.fit

Quantile Regression with LASSO penalty
square

Square function
randomly_assign

Randomly Assign
transform_coefs

Transform coefficients back to original scale
nonzero

Nonzero
scad

scad
rq.group.lin.prog

Quantile Regresion with Group Penalty using linear programming algorithm
rq.group.fit

Quantile Regresion with Group Penalty
scad_deriv

SCAD Derivative
rq.lasso.fit.mult

Fit Quantile Regression model for varying quantiles with LASSO penalty
check

Quantile check function
QICD

Penalized Quantile Regression with QICD Algorithm
coef.cv.rq.group.pen

Group Penalized Quantile Regression Coefficients
QICD.master

Master QICD Function for Regular QICD, group QICD, and Partially Penalized QICD with Multiple Lambdas
LASSO.fit

LASSO Penalized Quantile Regression
coef.cv.rq.pen

Penalized Quantile Regression Coefficients
LASSO.fit.nonpen

LASSO Penalized Quantile Regression with some nonpenalized coefficients
beta_plots

Plots of Betas
QICD.nonpen

Penalized Quantile Regression with some nonpenalized coefficients with QICD Algorithm