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CRAN: Package hqreg

hqreg: Regularization Paths for Lasso or Elastic-Net Penalized Huber Loss Regression and Quantile Regression

Offers efficient algorithms for fitting regularization paths for lasso or elastic-net penalized regression models with Huber loss, quantile loss or squared loss. Reference: Congrui Yi and Jian Huang (2017) <doi:10.1080/10618600.2016.1256816>.

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