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quantreg (version 5.98)

rq.fit.pfn: Preprocessing Algorithm for Quantile Regression

Description

A preprocessing algorithm for the Frisch Newton algorithm for quantile regression. This is one possible method for rq().

Usage

rq.fit.pfn(x, y, tau=0.5, Mm.factor=0.8, max.bad.fixups=3, eps=1e-06)

Value

Returns an object of type rq

Arguments

x

design matrix usually supplied via rq()

y

response vector usually supplied via rq()

tau

quantile of interest

Mm.factor

constant to determine sub sample size m

max.bad.fixups

number of allowed mispredicted signs of residuals

eps

convergence tolerance

Author

Roger Koenker <rkoenker@uiuc.edu>

Details

Preprocessing algorithm to reduce the effective sample size for QR problems with (plausibly) iid samples. The preprocessing relies on subsampling of the original data, so situations in which the observations are not plausibly iid, are likely to cause problems. The tolerance eps may be relaxed somewhat.

References

Portnoy and Koenker, Statistical Science, (1997) 279-300

See Also

rq