Provides the ASUS procedure for estimating a high dimensional sparse parameter in the presence of auxiliary data that encode side information on sparsity. It is a robust data combination procedure in the sense that even when pooling non-informative auxiliary data ASUS would be at least as efficient as competing soft thresholding based methods that do not use auxiliary data. For more information, please see the website < http://www-bcf.usc.edu/~wenguans/Papers/ASUS.htm> and the accompanying paper.
First version released.