.rqrtau.fast {fastqrs}R Documentation

rqrtau.fast

Description

Algorithm 1: algorithm with preprocessing for Rotated Quantile Regression (RQR) with initial values of the beta coefficients for a single quantile tau

Usage

.rqrtau.fast(y, x, w = NULL, tau, zeta, m, b0)

Arguments

y

= Dependent variable (N x 1)

x

= Regressors matrix (N x K)

w

= Sample weights (N x 1)

tau

= Quantile indexes rotated at individual level (N x 1)

zeta

= Conservative estimate of standard error of residuals (N x 1)

m

= Parameter to select interval of observations in top and bottom groups

b0

= Initial values of the beta coefficients (K x 1)

Value

b = Estimated beta coefficients (K x 1)


[Package fastqrs version 1.0.0 Index]