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chr

2017 Jun 19

0

quantreg::rq.fit.hogg crashing at random

...antile estimator, number of quantiles
distributions=c("norm","t1","t2","t3","t5","logistic","
exponential","Weibull")
method.wqr="fn" # interior 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...