quantreg: boot.rq.pxy – R documentation

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quantreg

boot.rq.pxy

Preprocessing bootstrap method

Description

Bootstrap method exploiting preprocessing strategy to reduce computation time for large problem.

Usage

boot.rq.pxy(x, y, s, tau = 0.5, coef, method = "fn", Mm.factor = 3)

Arguments

`x`	Design matrix
`y`	response vector
`s`	matrix of multinomial draws for xy bootstrap
`tau`	quantile of interest
`coef`	point estimate of fitted object
`method`	fitting method for bootstrap
`Mm.factor`	constant to determine initial sample size

Details

See references for further details.

Value

Returns matrix of bootstrap estimates.

Author(s)

Blaise Melly and Roger Koenker

References

Chernozhukov, V. I. Fernandez-Val and B. Melly, Fast Algorithms for the Quantile Regression Process, 2019, arXiv, 1909.05782,

Portnoy, S. and R. Koenker, The Gaussian Hare and the Laplacian Tortoise, Statistical Science, (1997) 279-300

Roger Koenker [cre, aut], Stephen Portnoy [ctb] (Contributions to Censored QR code), Pin Tian Ng [ctb] (Contributions to Sparse QR code), Blaise Melly [ctb] (Contributions to preprocessing code), Achim Zeileis [ctb] (Contributions to dynrq code essentially identical to his dynlm code), Philip Grosjean [ctb] (Contributions to nlrq code), Cleve Moler [ctb] (author of several linpack routines), Yousef Saad [ctb] (author of sparskit2), Victor Chernozhukov [ctb] (contributions to extreme value inference code), Ivan Fernandez-Val [ctb] (contributions to extreme value inference code), Brian D Ripley [trl, ctb] (Initial (2001) R port from S (to my everlasting shame -- how could I have been so slow to adopt R!) and for numerous other suggestions and useful advice)

Initial release