[SciPy-User] [ANN] scikit.statsmodels 0.2.0 release

[Skipper Seabold]

On Fri, Feb 19, 2010 at 10:11 AM,  <josef.pktd at gmail.com> wrote:
> On Fri, Feb 19, 2010 at 9:34 AM, Alan G Isaac <aisaac at american.edu> wrote:
>> On 2/18/2010 6:43 PM, David Warde-Farley wrote:
>>> There's quite a bit of code out there for doing L1 chicanery if
>>> you're willing to acquiesce to the GPL, also notably this code:http://www.stanford.edu/~boyd/l1_logreg/
>>
>> Note that the authors include contact info at the bottom
>> of that page, if you wish to explore whether they might
>> consider releasing the code under a BSD license.
>
> Since the reference is using the interior point algorithm: there is a
> generic linear programming function with interior point algorithm
> available in gauss by Thierry Roncalli licensed under MIT which might
> be useful as reference implementation. He uses it for LAD estimation
> and in portfolio allocation (if I remember correctly). I'm not sure
> whether there is an explanation in English.
>

Another nice resource: http://www.thierry-roncalli.com/

Manual is in English, though the lecture notes are in French.  Lecture
notes point to the relationship between LAD and Huber's method, which
might be nice to compare to our code for the same.

Skipper