robustHD

Robust methods for high-dimensional data, in particular linear model selection techniques based on least angle regression and sparse regression. Specifically, the package implements robust least angle regression (Khan, Van Aelst & Zamar, 2007; ), (robust) groupwise least angle regression (Alfons, Croux & Gelper, 2016; ), and sparse least trimmed squares regression (Alfons, Croux & Gelper, 2013; ).

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