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/~
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 selec
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