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KarimOualkacha / GSQR

This package implements a blockwise-majorization-decent algorithm for group quantile regression (GSQR). It computes efficiently the solution paths of the group-Lasso penalized quantile regression, the group-MCP penalized quantile regression, the group-SCAD penalized quantile regression and theirs approximations.
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Also support sparse group quantile regression? #1

Open tomwenseleers opened 5 years ago

tomwenseleers commented 5 years ago

I was wondering if it would be difficult by any chance to also support sparse group quantile regression, by analogy to sparse group LASSO?

KarimOualkacha commented 5 years ago

in fact, we are now working on QR sparse group LASSO/SACD/MCP; we will push it to Github soon.

tomwenseleers commented 5 years ago

Ha that's great to hear!