Dantzig Selector

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Dantzig Selector

tzygmund mcfarlane
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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Re: Dantzig Selector

RKoenker
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   [hidden email]                       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]}
> }
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.