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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