[R] Dantzig Selector

[roger koenker]

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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