rqPen (Q31096)

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Penalized Quantile Regression
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rqPen
Penalized Quantile Regression

    Statements

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    3.1.2
    28 March 2023
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    3.1.3
    11 April 2023
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    1.0
    29 October 2014
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    1.1
    15 March 2015
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    1.2
    22 October 2015
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    1.3
    8 February 2016
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    1.4
    21 April 2016
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    1.5.1
    5 November 2016
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    1.5
    24 October 2016
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    2.0
    16 May 2017
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    2.1
    1 May 2019
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    2.2.1
    28 January 2020
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    2.2.2
    9 April 2020
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    2.2
    10 December 2019
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    2.3
    22 March 2022
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    3.0.1
    31 January 2023
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    3.0
    9 August 2022
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    3.1.1
    4 March 2023
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    3.1.2
    29 March 2023
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    3.1
    21 February 2023
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    3.2
    17 July 2023
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    3.2.1
    24 August 2023
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    24 August 2023
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    Performs penalized quantile regression with LASSO, elastic net, SCAD and MCP penalty 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. Below URL provides a link to a work in progress vignette.
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