R

Class Declaration

TBW

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Example

Code to run a median regression example is given below.

library(BQReg.Rcpp)

set.seed(1900)

#

n <- 1000
K <- 3

X <- matrix(rnorm(n*K),n,K)
X[,1] <- 1


beta0 <- matrix(runif(K,1,2), ncol = 1)
beta0[1] <- 5.0

Y <- X %*% beta0 + rnorm(n)

#

bqreg_obj <- new(bqreg)

bqreg_obj$load_data(Y, X)

#

beta_bar <- matrix(0, K, 1)

Vbar <- diag(K) * 1/0.001

n0 <- 3
s0 <- 3

bqreg_obj$set_prior_params(beta_bar, Vbar, n0, s0)

#

beta_hat <- solve( t(X) %*% X, t(X) %*% Y )
bqreg_obj$set_initial_beta_draw(beta_hat)

#

tau <- 0.5

bqreg_obj$set_quantile_target(tau)

n_burnin_draws <- 10000
n_keep_draws <- 10000

gibbs_res <- bqreg_obj$gibbs(n_burnin_draws, n_keep_draws, 0)

rowMeans(gibbs_res$beta_draws)

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