rqPen
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Software:31096
swMATH19266CRANrqPenMaRDI QIDQ31096
Penalized Quantile Regression
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
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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