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QuantRegGLasso  

Adaptively Weighted Group Lasso for Semiparametric Quantile Regression Models
View on CRAN: Click here


Download and install QuantRegGLasso package within the R console
Install from CRAN:
install.packages("QuantRegGLasso")

Install from Github:
library("remotes")
install_github("cran/QuantRegGLasso")

Install by package version:
library("remotes")
install_version("QuantRegGLasso", "1.0.0")



Attach the package and use:
library("QuantRegGLasso")
Maintained by
Wen-Ting Wang
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2024-01-16
Latest Update: 2024-01-16
Description:
Implements an adaptively weighted group Lasso procedure for simultaneous variable selection and structure identification in varying coefficient quantile regression models and additive quantile regression models with ultra-high dimensional covariates. The methodology, grounded in a strong sparsity condition, establishes selection consistency under certain weight conditions. To address the challenge of tuning parameter selection in practice, a BIC-type criterion named high-dimensional information criterion (HDIC) is proposed. The Lasso procedure, guided by HDIC-determined tuning parameters, maintains selection consistency. Theoretical findings are strongly supported by simulation studies. (Toshio Honda, Ching-Kang Ing, Wei-Ying Wu, 2019, ).
How to cite:
Wen-Ting Wang (2024). QuantRegGLasso: Adaptively Weighted Group Lasso for Semiparametric Quantile Regression Models. R package version 1.0.0, https://cran.r-project.org/web/packages/QuantRegGLasso
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