rq.fit.post_lasso.Rd
Quantile Regression w/ Lasso Penalty
rq.fit.post_lasso( X, y, tau, lambda, weights, scale_x = T, method = "agd", nfold = 5, nlambda = 10, ... )
X | Design matrix, X |
---|---|
y | outcome variable, y |
tau | quantile to estimate |
lambda | penalty parameter |
weights | optional vector of weights |
scale_x | whether to scale the design matrix before estimation |
method | method argument to be passed to quantreg::rq |
nfold | number of folds to use when cross-validating |
nlambda | number of lambdas to search over when cross-validating |
... | other arguments to pass to underlying fitting algorithm |