cqrReg: An R Package for Quantile and Composite Quantile Regression and Variable Selection
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The cqrReg package for R is the first to introduce a family of robust, high-dimensional regression models for quantile and composite quantile regression, both with and without an adaptive lasso penalty for variable selection. In this paper, we reformulate these quantile regression problems and present the estimators we implement in cqrReg using alternating direction method of multipliers (ADMM), majorize-minimization (MM), and coordinate descent (CD) algorithms. Our new approaches address the lack of publicly-available methods for (composite) quantile regression, both with and without regularization. We demonstrate the need for a variety of algorithms in later simulation studies. For comparison, we also introduce the widely-used interior point (IP) formulation and test our methods against the advanced IP algorithms in the existing quantreg package. Our simulation studies show that each of our methods, particularly MM and CD, excel in different settings such as with large or high-dimensional data sets, respectively, and outperform the methods currently implemented in quantreg. ADMM offers particular promise for future developments in its amenability to parallelization.
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