I am getting the same Convergence cycle detected
warning running a quantile regression with statsmodels.regression.quantile_regression
as in here:
/home/skipper/statsmodels/statsmodels/tools/BUILDENV/local/lib/python2.7/site-packages/statsmodels-0.7.0-py2.7-linux-x86_64.egg/statsmodels/regression/quantile_regression.py:189:
ConvergenceWarning: Convergence cycle detected
warnings.warn("Convergence cycle detected", ConvergenceWarning)
I think it means that the convex optimizer keeps hopping from one side to the other of the optimal point without improving on the target function until reaches the maximum number of iterations
allowed.
\AppData\Local\Continuum\Anaconda\lib\site-packages\statsmodels\regression\quantile_regression.py:193:
IterationLimitWarning: Maximum number of iterations (1000) reached.
IterationLimitWarning)
I am not sure how I can hack into this to avoid this warning.