q_cov {pqrfe}

Covariance

Description

Estimate Covariance matrix

Usage

q_cov(n, N, d, Z, X, tau, res, penalty, c)

Arguments

n

length of alpha.

N

sample size.

d

length of beta.

Z

Numeric matrix, incident matrix.

X

Numeric matrix, covariates.

tau

Numeric, identifies the percentile.

res

Numeric vector, residuals.

penalty

Numeric, 1 quantile regression, 2 quantile regression with fixed effects, 3 Lasso quantile regression with fixed effects

c

Numeric, tuning

Value

a list with two matrices: sig2_alpha (which is the matrix of covariance of estimated alpha) and sig2_beta (which is the matrix of covariance of estimated beta)