L1-penalised lasso quantile regression

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Elric
Elric on 4 Jul 2019
Commented: Stepp Gyogi on 17 Mar 2022
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
yiran he on 7 Jan 2021
Edited: Walter Roberson on 7 Jan 2021
  2 Comments
Stéphane Surprenant
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
Stepp Gyogi on 17 Mar 2022
Actually, it seems SDPT 3.4 is required (cf. https://github.com/ctbrownlees/gar-replication).

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