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quantreg (version 5.98)

rq.fit.ppro: Preprocessing fitting method for QR

Description

Preprocessing method for fitting quantile regression models that exploits the fact that adjacent tau's should have nearly the same sign vectors for residuals.

Usage

rq.fit.ppro(x, y, tau, weights = NULL, Mm.factor = 0.8, eps = 1e-06, ...)

Value

Returns a list with components:

coefficients

Matrix of coefficient estimates

residuals

Matrix of residual estimates

rho

vector of objective function values

weights

vector of case weights

Arguments

x

Design matrix

y

Response vector

tau

quantile vector of interest

weights

case weights

Mm.factor

constant determining initial sample size

eps

Convergence tolerance

...

Other arguments

Author

Blaise Melly and Roger Koenker

Details

See references for further details.

References

Chernozhukov, V. I. Fernandez-Val and B. Melly, Fast Algorithms for the Quantile Regression Process, 2020, Empirical Economics.,

Portnoy, S. and R. Koenker, The Gaussian Hare and the Laplacian Tortoise, Statistical Science, (1997) 279-300

See Also

rq.fit.pfn, boot.rq.pxy