There is an experimental version available here:
http://www.econ.uiuc.edu/~roger/research/sparse/sfn.html
that uses the interior point code in the package quantreg. There is
an option to exploit possible sparsity of the X matrix.
Comments would be welcome.
url: www.econ.uiuc.edu/~roger Roger Koenker
email rkoen...@uiuc.edu Department of Economics
vox: 217-333-4558 University of Illinois
fax: 217-244-6678 Champaign, IL 61820
On Jul 8, 2009, at 6:35 PM, tzygmund mcfarlane wrote:
Hi,
I was wondering if there was an R package or routines for the Dantzig
Selector (Candes & Tao, 2007). I know Emmanuel Candes has Matlab
routines to do this but I was wondering if someone had ported those to
R.
Thanks,
T
---Reference---
@article{candes2007dantzig,
title={{The Dantzig selector: statistical estimation when p is much
larger than n}},
author={Candes, E. and Tao, T.},
journal={Annals of Statistics},
volume={35},
number={6},
pages={2313--2351},
year={2007},
publisher={Hayward, Calif.[etc] Institute of Mathematical
Statistics [etc]}
}
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