https://github.com/cran/quantreg
Tip revision: f7b79d0050f0b42b62f56e85c75207b9b3ae2501 authored by Roger Koenker on 01 April 2020, 09:00:03 UTC
version 5.55
version 5.55
Tip revision: f7b79d0
rls.f
subroutine rls(n,p,x,y,b,a,ax)
integer n,p
double precision x(p,n),y(n),b(p,n),a(p,p),ax(p)
double precision zero,one,mone,f,r,ddot
parameter( one = 1.d0)
parameter( mone = -1.d0)
parameter( zero = 0.d0)
do 23000 i = (p+1),n
call dgemv('N',p,p,one,a,p,x(1,i),1,zero,ax,1)
f = one + ddot(p,x(1,i),1,ax,1)
r = (y(i)-ddot(p,x(1,i),1,b(1,i-1),1))/f
call daxpy(p,one,b(1,i-1),1,b(1,i),1)
call daxpy(p,r,ax,1,b(1,i),1)
call dger(p,p,mone/f,ax,1,ax,1,a,p)
23000 continue
return
end