rqPen: Penalized Quantile Regression

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 a work in progress vignette.

Version: 4.0
Depends: R (≥ 3.0.0)
Imports: methods, quantreg, hqreg, hrqglas, data.table, Rdpack, lifecycle, plyr, Matrix, Rcpp
LinkingTo: Rcpp, RcppArmadillo
Suggests: splines, knitr
Published: 2024-04-18
Author: Ben Sherwood [aut, cre], Adam Maidman [aut], Shaobo Li [aut]
Maintainer: Ben Sherwood <ben.sherwood at ku.edu>
License: MIT + file LICENSE
URL: https://github.com/bssherwood/rqpen/blob/master/ignore/rqPenArticle.pdf
NeedsCompilation: yes
Materials: README NEWS
CRAN checks: rqPen results

Documentation:

Reference manual: rqPen.pdf

Downloads:

Package source: rqPen_4.0.tar.gz
Windows binaries: r-prerel: rqPen_3.2.2.zip, r-release: rqPen_3.2.2.zip, r-oldrel: rqPen_3.2.2.zip
macOS binaries: r-prerel (arm64): rqPen_3.2.2.tgz, r-release (arm64): rqPen_3.2.2.tgz, r-oldrel (arm64): rqPen_3.2.2.tgz, r-prerel (x86_64): rqPen_3.2.2.tgz, r-release (x86_64): rqPen_3.2.2.tgz
Old sources: rqPen archive

Reverse dependencies:

Reverse imports: evalITR, MTE, WpProj

Linking:

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