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]} }
There is an experimental version available here: 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: 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]} > } > > ______________________________________________ > R-help at r-project.org mailing list > stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.