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CRAN: Package robustlm

robustlm: Robust Variable Selection with Exponential Squared Loss

Computationally efficient tool for performing variable selection and obtaining robust estimates, which implements robust variable selection procedure proposed by Wang, X., Jiang, Y., Wang, S., Zhang, H. (2013) <doi:10.1080/01621459.2013.766613>. Users can enjoy the near optimal, consistent, and oracle properties of the procedures.

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