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bigvlist
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_cqr_l...