Description Usage Arguments Value Author(s) References See Also Examples
This function solves the generalized structural filtering problem via the primal dual active set algorithm. It fits a non-parametric regression model by minimizing the least squares error with penalty matrix D on coefficient beta.
1 |
y |
Response sequence to be filtered. |
D |
Penalty matrix on coeffient beta. |
s |
Number of knots in the penalized coefficient(breaks in the |
K.max |
The maximum number of steps for the algorithm to take before termination. Default is 5. |
ddinv |
The inverse matrix of |
y |
The observed response vector. Useful for plotting and other methods. |
beta |
Fitted value. |
v |
Primal coefficient. The indexes of the nonzero values correspond to the locations of the breaks in |
Canhong Wen, Xueqin Wang, Yanhe Shen, Aijun Zhang
Wen,C., Wang, X., Shen, Y., and Zhang, A. (2017). "L0 trend filtering", technical report.
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