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2017 Jun 19
0
quantreg::rq.fit.hogg crashing at random
...rior point method; if "fn" then roughly matches with method.cqr="ip" # Create the covariance matrix of X Sigma=matrix(NA,p,p); for(i in 1:p) for(j in 1:p) Sigma[i,j]=0.5^(abs(i-j)) # Generate X (common across all simulations) set.seed(0); X=mvrnorm(n=n,mu=rep(0,p),Sigma=Sigma) Binvlist=list() for(k in 1:K){ tau=cumsum(rep(1/(k+1),k)) Ai=matrix(rep(tau,k),nrow=k,ncol=k,byrow=TRUE) Aj=matrix(rep(tau,k),nrow=k,ncol=k,byrow=FALSE) Amin=pmin(Ai,Aj) # Amin=Ai; Amin[Ai>Aj]=Aj[Ai>Aj] Ax=tau %*% t(tau) B=Amin-Ax Binvlist[[k]]=solve(B) } for(m in 1:M){ mse_wqr_list=mse_c...