scad_deriv

Derivative of SCAD penalty function as described in Fan and Li (2001).

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

scad_deriv function

<dl> <dt>x</dt>
<dd>Number to be evaluated</dd> <dt>lambda</dt>
<dd>Tuning parameter lambda</dd> <dt>a</dt>
<dd>Tuning parameter a. Default value of 3.7 as suggested in Fan and Li (2001)</dd></dl>

Arguments

Author

SCAD Derivative — scad_deriv

<dl>

 <dt>x</dt>
<dd>Number to be evaluated</dd>

 <dt>lambda</dt>
<dd>Tuning parameter lambda</dd>

 <dt>a</dt>
<dd>Tuning parameter a. Default value of 3.7 as suggested in Fan and Li (2001)</dd>

</dl>

scad_deriv: SCAD Derivative

Description

Usage

Value

Arguments

Author

References

Examples