L1-penalised lasso quantile regression
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Hi everyone,
I was wondering if there is a code for estimating a penalized lasso quantile regression as described in
Belloni A, Chernozhukov V. 2011. `1-penalized quantile regression in high-dimensional sparse models. Annals of Statistics 39: 82–130.
(or if there is a way to modify the lasso function from matlab or the quantreg from file exchange in order to achieve the same result).
Thank you in advance!
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Accepted Answer
yiran he
on 7 Jan 2021
Edited: Walter Roberson
on 7 Jan 2021
2 Comments
Stéphane Surprenant
on 22 Mar 2021
Edited: Stéphane Surprenant
on 22 Mar 2021
I don't know what was the status of hyperlinks in January, but the link for SDPT3 is broken... So, I don't know if it will be possible to run the code as is, although I think this is available here: SDPT3.
Stepp Gyogi
on 17 Mar 2022
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