Revision

**2b3a85a87089d85cfbcc67cac5d6778f94719b8d**authored by Roger Koenker on**15 July 2019, 13:00:03 UTC**, committed by cran-robot on**15 July 2019, 13:00:03 UTC****1 parent**5071707

crqfnb.r

```
# Peng-Huang Censored Quantile Regression
subroutine crqfnb(n,p,a1,c1,n1,X,y,c,B,g,m,r,s,d,u,wn,wp,info)
# Input
# a1 = p by n1 design matrix (X[c,] transposed)
# c1 = n1 response vector -y[c]
# X = n by p design matrix
# y = n response vector
# c = n censoring indicator
# g = m grid vector of taus
# d = residual n-vector, initialized == 1
# s = initialized cumhaz vector (rep(0,n))
# u = upper bound n-vector, initalized == 1
# Workspace
# r = rhs p-vector
# wn = work array n1 by 9
# wp = work array p by p+3
# Output
# B = p by m matrix of estimated coefficients
# m = final column dimension of of B
# Note
# d is used both for residuals and as a work vector for rqfnb.
# u needs to be reinitialized to ones at each iteration
integer n,p,n1,m,info,nit(3)
double precision a1(p,n1),c1(n),X(n,p),y(n),c(n),B(p,m),g(m)
double precision wn(n1,9),wp(p,p+3),r(p),s(n),d(n),u(n)
double precision zero,half,one,beta,eps,dH
parameter( zero = 0.0d0)
parameter( half = 0.5d0)
parameter( one = 1.0d0)
parameter( beta = 0.99995d0)
parameter( eps = 1.0d-8)
do k = 2,m {
dH = -log(one - g(k)) + log(one - g(k-1))
do i = 1,n {
u(i) = one
wn(i,1) = half # initialize dual vector
if(d(i) >= zero) s(i) = s(i) + dH
d(i) = c(i) - s(i)
}
call dgemv('T',n,p,one,X,n,d,1,zero,r,1)
call rqfnb(n1,p,a1,c1,r,d,u,beta,eps,wn,wp,nit,info)
if(info != 0) break
call dcopy(p,wp,1,B(1,k-1),1)
call dcopy(n,y,1,d,1)
call dgemv('N',n,p,one,X,n,B(1,k-1),1,one,d,1)
}
m = k-1
return
end
```

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