QRADMM-package

R package for ADMM for penalized quantile regression. It wraps up both QRADM and QPADMM into a single package. Two main functions are available: The QRADMM() and the QPADM() functions. Please refer to the following two papers for details:

• Yu, L. and Lin, N. (2017). ADMM for quantile regression in big data, International Statistical Review, 85(3):494-518.
• Yu, L., Lin, N. and Wang, L. (2017). A parallel algorithm for large-scale nonconvex penalized quantile regression. Journal of Computational and Graphical Statistics, 26(4), 935-939.

Caution:

The current version can only be installed on MAC OS.