Quantile, Composite Quantile Regression and Regularized Versions

Estimate quantile regression(QR) and composite quantile regression (cqr) and with adaptive lasso penalty using interior point (IP), majorize and minimize(MM), coordinate descent (CD), and alternating direction method of multipliers algorithms(ADMM).


Reference manual

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1.2 by Jueyu Gao, 6 years ago

Browse source code at https://github.com/cran/cqrReg

Authors: Jueyu Gao & Linglong Kong

Documentation:   PDF Manual  

GPL (>= 2) license

Depends on Rcpp, quantreg

Linking to Rcpp, RcppArmadillo

See at CRAN