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rqPen

Penalized Quantile Regression

https://github.com/bssherwood/rqpen

Science Score: 23.0%

This score indicates how likely this project is to be science-related based on various indicators:

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    CITATION.cff file
  • ✓
    codemeta.json file
    Found codemeta.json file
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    .zenodo.json file
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    DOI references
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    Academic publication links
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    Committers with academic emails
    2 of 5 committers (40.0%) from academic institutions
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    Scientific vocabulary similarity
    Low similarity (10.5%) to scientific vocabulary
Last synced: 10 months ago · JSON representation

Repository

Penalized Quantile Regression

Basic Info
  • Host: GitHub
  • Owner: bssherwood
  • License: other
  • Language: R
  • Default Branch: master
  • Size: 3.97 MB
Statistics
  • Stars: 16
  • Watchers: 4
  • Forks: 3
  • Open Issues: 0
  • Releases: 0
Created over 10 years ago · Last pushed over 1 year ago
Metadata Files
Readme Changelog License

README.md

rqPen: Penalized quantile regression

Overview

This R package provides tools for estimating a quantile regression model with a penalized objective function. Implements a variety of penalties, including group penalties.

Installation

For most up to date versions use the following code. However, be warned the github package is often in a state of testing and debugging. r devtools::install_github("bssherwood/rqpen")

The following code will install the more stable CRAN version. r install.packages("rqPen")

Example

``` r library(rqPen) n<- 200 p<- 30 x0<- matrix(rnorm(np),n,p) x<- cbind(x0, x0^2, x0^3)[,order(rep(1:p,3))] y<- -2+x[,1]+0.5x[,2]-x[,3]-0.5x[,7]+x[,8]-0.2x[,9]+rt(n,2) group<- rep(1:p, each=3)

lasso estimation

one tau

fit1 <- rq.pen(x,y)

several values of tau

fit2 <- rq.pen(x,y,tau=c(.2,.5,.8))

Group SCAD estimation

fit3 <- rq.group.pen(x,y,groups=group,penalty="gSCAD")

cross validation

cv1 <- rq.pen.cv(x,y) plot(cv1)

cv2 <- rq.pen.cv(x,y,tau=c(.2,.5,.8)) plot(cv2)

cv3 <- rq.group.pen(x,y,groups=group,penalty="gSCAD") plot(cv3)

BIC selection of tuning parameters

qs1 <- qic.select(fit1) qs2 <- qic.select(fit2) qs3 <- qic.select(fit3) ```

See, https://github.com/bssherwood/rqpen/blob/master/ignore/rqPenArticle.pdf, for a vignette. The Huber approach for rq.pen relies on the R package hqreg and work presented in "Semismooth Newton Coordinate Descent Algorithm for Elastic-Net Penalized Huber Loss Regression and Quantile Regression". The Huber approach in rq.group.pen relies on R package hrqglas and work presented in An Efficient Approach to Feature Selection and Estimation for Quantile Regression with Grouped Variables

References

Sherwood, B. and Li, S. (2022) An Efficient Approach to Feature Selection and Estimation for Quantile Regression with Grouped Variables, Statistics and computing, 75.

Yi, C. and Huang, J. (2015) Semismooth Newton Coordinate Descent Algorithm for Elastic-Net Penalized Huber Loss Regression and Quantile Regression, Journal of Computational and Graphical Statistics, 26:3, 547-557.

Owner

  • Login: bssherwood
  • Kind: user

GitHub Events

Total
  • Watch event: 4
  • Push event: 6
  • Fork event: 1
Last Year
  • Watch event: 4
  • Push event: 6
  • Fork event: 1

Committers

Last synced: over 2 years ago

All Time
  • Total Commits: 708
  • Total Committers: 5
  • Avg Commits per committer: 141.6
  • Development Distribution Score (DDS): 0.404
Past Year
  • Commits: 96
  • Committers: 2
  • Avg Commits per committer: 48.0
  • Development Distribution Score (DDS): 0.073
Top Committers
Name Email Commits
bssherwood b****d 422
Sherwood b****d@g****m 253
maidm004 m****4@u****u 27
Brice Green b****n@g****m 3
Sherwood b****6@h****u 3
Committer Domains (Top 20 + Academic)
home.ku.edu: 1 umn.edu: 1

Issues and Pull Requests

Last synced: over 1 year ago

All Time
  • Total issues: 4
  • Total pull requests: 3
  • Average time to close issues: 7 months
  • Average time to close pull requests: 10 days
  • Total issue authors: 2
  • Total pull request authors: 2
  • Average comments per issue: 1.5
  • Average comments per pull request: 1.67
  • Merged pull requests: 2
  • Bot issues: 0
  • Bot pull requests: 0
Past Year
  • Issues: 0
  • Pull requests: 1
  • Average time to close issues: N/A
  • Average time to close pull requests: 28 days
  • Issue authors: 0
  • Pull request authors: 1
  • Average comments per issue: 0
  • Average comments per pull request: 0.0
  • Merged pull requests: 0
  • Bot issues: 0
  • Bot pull requests: 0
View more stats
Top Authors
Issue Authors
  • Steviey (2)
  • ericdunipace (2)
Pull Request Authors
  • be-green (2)
  • bssherwood (2)
Top Labels
Issue Labels
Pull Request Labels

Packages

  • Total packages: 1
  • Total downloads:
    • cran 731 last-month
  • Total docker downloads: 21,613
  • Total dependent packages: 3
  • Total dependent repositories: 1
  • Total versions: 27
  • Total maintainers: 1
cran.r-project.org: rqPen

Penalized Quantile Regression

  • Versions: 27
  • Dependent Packages: 3
  • Dependent Repositories: 1
  • Downloads: 731 Last month
  • Docker Downloads: 21,613
Rankings
Docker downloads count: 0.6%
Dependent packages count: 13.7%
Average: 14.1%
Forks count: 14.2%
Stargazers count: 15.1%
Downloads: 17.0%
Dependent repos count: 23.8%
Maintainers (1)
ben.sherwood@ku.edu
Last synced: 11 months ago

Dependencies

DESCRIPTION cran
  • R >= 3.0.0 depends
  • Rdpack * imports
  • data.table * imports
  • hqreg * imports
  • hrqglas * imports
  • lifecycle * imports
  • methods * imports
  • plyr * imports
  • quantreg * imports
  • knitr * suggests
  • splines * suggests