An Ordered Lasso and Sparse Time-Lagged Regression
نویسندگان
چکیده
منابع مشابه
An Ordered Lasso and Sparse Time-Lagged Regression
We consider a regression scenario where it is natural to impose an order constraint on the coefficients. We propose an order-constrained version of `1-regularized regression (lasso) for this problem, and show how to solve it efficiently using the well-known Pool Adjacent Violators Algorithm as its proximal operator. The main application of this idea is to time-lagged regression, where we predic...
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ژورنال
عنوان ژورنال: Technometrics
سال: 2016
ISSN: 0040-1706,1537-2723
DOI: 10.1080/00401706.2015.1079245