Package: QuantRegGLasso 1.0.0

QuantRegGLasso: Adaptively Weighted Group Lasso for Semiparametric Quantile Regression Models

Implements an adaptively weighted group Lasso procedure for simultaneous variable selection and structure identification in varying coefficient quantile regression models and additive quantile regression models with ultra-high dimensional covariates. The methodology, grounded in a strong sparsity condition, establishes selection consistency under certain weight conditions. To address the challenge of tuning parameter selection in practice, a BIC-type criterion named high-dimensional information criterion (HDIC) is proposed. The Lasso procedure, guided by HDIC-determined tuning parameters, maintains selection consistency. Theoretical findings are strongly supported by simulation studies. (Toshio Honda, Ching-Kang Ing, Wei-Ying Wu, 2019, <doi:10.3150/18-BEJ1091>).

Authors:Wen-Ting Wang [aut, cre], Wei-Ying Wu [aut], Toshio Honda [aut], Ching-Kang Ing [aut]

QuantRegGLasso_1.0.0.tar.gz
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QuantRegGLasso.pdf |QuantRegGLasso.html✨
QuantRegGLasso/json (API)
NEWS

# Install 'QuantRegGLasso' in R:
install.packages('QuantRegGLasso', repos = c('https://egpivo.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/egpivo/quantregglasso/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3

On CRAN:

admmgroup-lassohigh-dimensionalquantile-regressionrcpprcpparmadillo

11 exports 2 stars 1.32 score 30 dependencies 2 scripts 132 downloads

Last updated 23 days agofrom:ca767dabe7. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKAug 26 2024
R-4.5-win-x86_64OKAug 26 2024
R-4.5-linux-x86_64OKAug 26 2024
R-4.4-win-x86_64OKAug 26 2024
R-4.4-mac-x86_64OKAug 26 2024
R-4.4-mac-aarch64OKAug 26 2024
R-4.3-win-x86_64OKAug 26 2024
R-4.3-mac-x86_64OKAug 26 2024
R-4.3-mac-aarch64OKAug 26 2024

Exports:awglawgl_omegacheck_predict_parametersorthogonize_bsplineplot_bic_resultplot_coefficient_functionplot_sequentiallyplot.qrglassoplot.qrglasso.predictpredictqrglasso

Dependencies:clicolorspacefansifarverggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigR6RColorBrewerRcppRcppArmadillorlangscalestibbleutf8vctrsviridisLitewithr