L1 Norm
On Mon, 15 May 2000, M. Angel Arranz wrote:
Dear R people I must estimate a linear model with the L1 norm. S-Plus includes the l1fit
Why? (Is this a homework?) There are lots of things wrong with l1 norm solutions.
command that performs exactly what I need, but I do not know how to do it in R. I checked the 'lqs' library, but it was not included there. Do you how to estimate it with R?
Check out the quantreg package on CRAN for a *much* comprehensive solution. Also, you could use rlm() in library MASS with k \approx 0, but k \approx 1 is a much better idea.
Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272860 (secr) Oxford OX1 3TG, UK Fax: +44 1865 272595 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._