R package SALES: Elastic Net and (Adaptive) Lasso Penalized Sparse Asymmetric Least Squares (SALES) and Coupled Sparse Asymmetric Least Squares (COSALES) using Coordinate Descent and Proximal Gradient Algorithms. A coordinate descent algorithm for computing the solution path of the sparse and coupled sparse asymmetric least squares, including the elastic net and (adaptive) Lasso penalized SALES and COSALES regressions.
References in zbMATH (referenced in 1 article )
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- Chen, Tuo; Su, Zhihua; Yang, Yi; Ding, Shanshan: Efficient estimation in expectile regression using envelope models (2020)