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o_cqk
2017 Jun 19
0
quantreg::rq.fit.hogg crashing at random
...pe=8` for
the `quantile` function
tmp=as.numeric(c(d$x,q)); ranks=rank(tmp);
below=tail(ranks,length(q))-c(1:length(q));
above=below+1
v = d$y[below] * (q-d$x[below])/(d$x[above]-d$x[below]) + d$y[above] *
(d$x[above]-q)/(d$x[above]-d$x[below])
if(k==1) V = matrix(v,1,1) else V = diag(v)
w_CQR = Binv %*% v; w_CQR = w_CQR / sum(w_CQR)
#----- Use the estimated optimal weights to actually estimate beta (with
EQR and CQR) and evaluate how well it does
print(paste(m, distr, k)); readline()
################ THE NEXT LINE CRASHES AT RANDOM:
fit_cqr=try( rq.fit.hogg2(x=cbind(X),y=y,taus...