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.

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  1. Chen, Tuo; Su, Zhihua; Yang, Yi; Ding, Shanshan: Efficient estimation in expectile regression using envelope models (2020)