rqcan1 {rqcanon}R Documentation

First Component

Description

Internal function to find the first component
It is not intended for general use, but the documentation may be helpful if errors occur or if one whishes to modify the algorithms

Usage

rqcan1(X, Y, tau = 0.5, a.pos = 1, wts = rep(1, nrow(X)))

Arguments

X

input X-matrix

Y

input Y-matrix

tau

probability for qualtile (default = .5)

a.pos

indices of Y-variable whose coefficient is constrained to be positive (default = 1)

wts

case weights (default = rep(1,nrow(X)) )

Details

The function finds the leading pair of indices. Notes: an intercept is added (X should not include 1st col = 1) ; ncol(Y) should be > 1 ; length(a.pos) should be at least 1 to specify coef signs (if tau = .5 and a.pos = NULL, coef and -coef give the same solution) ; for length(a.pos) < ncol(Y), the constraint sum(|alpha|) = 1 is set by setting Y1_j = s_j Y_j (j !in a.pos) where s_j = sgn(alpha_j) ; all sign choices are used and then constrained rq.fit.fnc( cbind(1,X,Y1),y0=0,R,r,tau) is applied
(R,r) contrains all alpha_j >= 0 and sum(alpha_j) >= 1 (makes sum = 1)

Value

Returns list(a,X,Y,a.pos,R,r,rho1): a = output from rq.fit.fnc(XY,y0,R,r,tau) ; X,Y,a.pos = input data ; R,r = constraint matrices for rq.fit.fnc ; rho1 = rq objective fct. ; if rq.fit.fnc generates a singular matrix, returns "sing"


[Package rqcanon version 0.1.0 Index]