rqPen (Q31096)
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Penalized Quantile Regression
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | rqPen |
Penalized Quantile Regression |
Statements
4 February 2026
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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 article in the R Journal.
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Shaobo Li
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Adam Maidman
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Identifiers
19 September 2023
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