get_coef_pen

Returns the value for the penalized portion of the penalized objective function.

Performs penalized quantile regression for LASSO, SCAD and MCP functions including group penalties. Provides a function that automatically generates lambdas and evaluates different models with cross validation or BIC, including a large p version of BIC.

Ben Sherwood

rqPen

Penalized Quantile Regression

get_coef_pen function

<dl> <dt>coefs</dt>
<dd>Coefficients to be transformed.</dd> <dt>lambda</dt>
<dd>The penalty tuning parameter.</dd> <dt>intercept</dt>
<dd>If the intercept is part of the coefficients.</dd> <dt>penVars</dt>
<dd>Variables that were penalized.</dd> <dt>penalty</dt>
<dd>The penalty function used.</dd></dl>

Arguments

Author

Returns the coefficient part of the penalized objective function — get_coef_pen

<dl>

 <dt>coefs</dt>
<dd>Coefficients to be transformed.</dd>

 <dt>lambda</dt>
<dd>The penalty tuning parameter.</dd>

 <dt>intercept</dt>
<dd>If the intercept is part of the coefficients.</dd>

 <dt>penVars</dt>
<dd>Variables that were penalized.</dd>

 <dt>penalty</dt>
<dd>The penalty function used.</dd>

</dl>

get_coef_pen: Returns the coefficient part of the penalized objective function

Description

Usage

Arguments

Author