R package "plvs" for estimation of coefficients by ultra-high dimensional variable selection piecewise linear loss function. It is computationally efficient for quantile and composited quantile.
#install.packages("devtools")
library(devtools)
install_github("xliusufe/plvs")
- plvs-manual.pdf ---------- Details of the usage of the package.
library(plvs)
n = 200;p=10
beta <- c(1, 2, 3, rep(0, p-3))
q <- 0.5
x <- matrix(rnorm(n*p), nrow = n)
y <- x%*%beta + sqrt(3)*rnorm(n)
fit <- cqr(x,y,q)
fit$hatbeta
fit$beta0
Liu, X., Jiang, H. and Shi, X. (2018). ultra-high dimensional variable selection piecewise linear loss function. Manuscript.
This R package is developed by Xu Liu (liu.xu@sufe.edu.cn).