loss_alqr {alqrfe}

Loss adaptive lasso quantile regression with fixed effects

Description

Loss adaptive lasso quantile regression with fixed effects

Usage

loss_alqr(theta, x, y, z, tau, n, d, mm, lambda, w)

Arguments

theta

initial values

x

design matrix

y

vector output

z

incident matrix

tau

percentile

n

N sample size

d

columns of x

mm

n columns of z

lambda

constriction parameter

w

weights