rqPen

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Penalized Quantile Regression

Ben Sherwood

Last update: 24 August 2023

Copyright license: MIT license, File License

Software version identifier: 3.1.2, 3.1.3, 1.0, 1.1, 1.2, 1.3, 1.4, 1.5.1, 1.5, 2.0, 2.1, 2.2.1, 2.2.2, 2.2, 2.3, 3.0.1, 3.0, 3.1.1, 3.1.2, 3.1, 3.2, 3.2.1

Source code repository: https://github.com/cran/rqPen

Description

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.

Cited In (12)

• WpProj
• Scalable estimation and inference for censored quantile regression process
• Prediction of composite indicators using locally weighted quantile regression
• Variable selection for additive partial linear quantile regression with missing covariates
• Optimal EMG placement for a robotic prosthesis controller with sequential, adaptive functional estimation (SAFE)
• Screening and selection for quantile regression using an alternative measure of variable importance
• A penalized approach to covariate selection through quantile regression coefficient models
• MTE
• evalITR
• Quantile regression feature selection and estimation with grouped variables using Huber approximation
• Modified check loss for efficient estimation via model selection in quantile regression
• Computational and statistical analyses for robust non-convex sparse regularized regression problem

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