sqr.fit {qfa}

Spline Quantile Regression (SQR)

Description

This function computes spline quantile regression (SQR) solution from response vector and design matrix. It uses the FORTRAN code rqfnb.f in the "quantreg" package with the kind permission of Dr. R. Koenker.

Usage

sqr.fit(y, X, tau, c0, d = 1, weighted = FALSE, mthreads = FALSE)

Arguments

y

response vector

X

design matrix (nrow(X) = length(y))

tau

sequence of quantile levels in (0,1)

c0

penalty parameter

d

subsampling rate of quantile levels (default = 1)

weighted

if TRUE, penalty function is weighted (default = FALSE)

mthreads

if TRUE, multithread BLAS is enabled when available (default = FALSE, required for parallel computing)

Value

A list with the following elements:

coefficients

matrix of regression coefficients

nit

number of iterations