R package rqPen: Penalized Quantile Regression. 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.
Keywords for this software
References in zbMATH (referenced in 4 articles )
Showing results 1 to 4 of 4.
- Katayama, Shota: Computational and statistical analyses for robust non-convex sparse regularized regression problem (2019)
- Kong, Yinfei; Li, Yujie; Zerom, Dawit: Screening and selection for quantile regression using an alternative measure of variable importance (2019)
- Rukšėnaitė, Jurga; Vaitkus, Pranas; Asijavičius, Povilas: Prediction of composite indicators using locally weighted quantile regression (2018)
- Sherwood, Ben: Variable selection for additive partial linear quantile regression with missing covariates (2016)