.rqr.fast {fastqrs}R Documentation

rqr.fast

Description

Algorithm 2: algorithm with preprocessing for Rotated Quantile Regression (RQR) for a grid of quantiles and the rotation obtained with a copula.

Usage

.rqr.fast(y, x, w = NULL, G, zeta, m, initq)

Arguments

y

= Dependent variable (N x 1)

x

= Regressors matrix (N x K)

w

= Sample weights (N x 1)

G

= Copula conditional on participation (N x Q)

zeta

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

m

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

initq

= Initial quantile to estimate regularly and obtain preliminary values for remaining quantiles

Value

b = Estimated beta coefficients (K x Q)


[Package fastqrs version 1.0.0 Index]