CQCSIS {QCSIS}

Compsote Quantile Correlation-Sure Independence Screening (CQC-SIS)

Description

The function implemrnts the composite quantile correlation-sure independence screening (CQC-SIS).

Usage

CQCSIS(x, y, d)

Arguments

x

The design matrix, of dimensions n * p, without an intercept.

y

The response vector of dimension n * 1.

d

The tuning parameter used to covarites had significant effect on the response variable, such as [n/log(n)], or n-1.

Value

w

The estimate of w.

M

The subscript of x recuited by CQC-SIS.

Author(s)

Xuejun Ma, Jingxiao Zhang, Jingke Zhou

References

Xuejun Ma et al.. Robust feature screening via composite quantile correlation learning. In submission.

Examples

n <- 20
p <- 200
x <- matrix(rnorm(n * p), n, p)
e <-  rnorm(n, 0, 1)
beta1 <- 3 - runif(1)
beta2 <- 3 - runif(1)
beta3 <- 3 - runif(1)
y <- beta1 * x[, 1] + beta2 * x[, 2] + beta3 * x[, 3] + e
d <- 19
fit.CQCSIS <- CQCSIS(x = x, y = y, d = d)
fit.CQCSIS$M