QICD (version 1.2.0)

checkloss:

Description

A simple function. Return the checkloss for quantile regression.

Usage

checkloss(res, tau = 0.5)

Arguments

res

a numererical vector.

tau

quantile parameter in quantile regression

Value

A checkloss value will be given, which is $$\rho_{\tau}(u) = u(\tau-I(\tau < 0))$$.

References

Peng,B and Wang,L. (2013)An Iterative Coordinate Descent Algorithm for High-dimensional Nonconvex Penalized Quantile Regression, submitted

Examples

x=c(1,2,3)
checkloss(x)