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 rkoenker at 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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