Software

R codes

1. sim-lasso: [R codes] [updated R codes]

   Reference:
   P Zeng, T He, and Y Zhu (2012).
   A lasso-type approach for estimation and variable selection in single-index models.
   Journal of Computational and Graphical Statistics 21, 92--109.

2. ITM for sufficient dimension reduction: [R codes]

   Reference:
   P Zeng and Y Zhu (2010).
   "An integral transform method for estimating the central mean and central subspaces".
   Journal of Multivariate Analysis 101, 271--290.

3. Fourier methods for sufficient dimension reduction: [R codes] [updated codes]

   Reference:
   Y Zhu and P Zeng (2006).
   "Fourier methods for estimating the central subspace and the central mean subspace in regression".
   Journal of the American Statistical Association 101, 1638--1651.

Micellaneous codes

• Least squares regression with lasso [by gurobi, by CVXR] [example]
• Least squares regression with generalized lasso and linear constraints [by gurobi, by CVXR] [example]
• Huber regression with generalized lasso and linear constraints [by gurobi, by CVXR] [example]
• Quantile regression with generalized lasso and linear constraints [by gurobi, by CVXR] [example]