siqr {siqr}

Main estimation function of single index quantile regression model. a two step method.

Description

Main estimation function of single index quantile regression model. a two step method.

Usage

siqr(y, X, tau = 0.5, beta.initial = NULL, h = NULL, maxiter = 30, tol = 1e-08)

Arguments

y

response vector;

X

covariate matrix;

tau

left-tail probability (quantile index), scalar

beta.initial

starting value of beta, the single index coefficients

h

user-defined bandwidth

maxiter

max iteration number

tol

toleration for convergence

Value

a siqr object, which includes: beta - the fitted single index coefficients with unit norm and first component being non negative flag.conv - whether the iterations converge

Examples

#generate data
set.seed(2021)
data <- generate.data(50)
X <- data$X
y0<- data$Y

#initials
beta0 <- NULL
#quantile
tau = 0.75
siqr.result <- siqr(y0,X,beta.initial = beta0, tau=tau)
summary(siqr.result)