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; doi:10.1198/016214507000000950), (robust) groupwise least angle regression (Alfons, Croux & Gelper, 2016; doi:10.1016/j.csda.2015.02.007), and sparse least trimmed squares regression (Alfons, Croux & Gelper, 2013; doi:10.1214/12-AOAS575).