update_beta_MM_TF: Beta update in L2E trend filtering regression - MM

In jocelynchi/L2E-package-demo: Robust Structured Regression via the L2 Criterion

Beta update in L2E trend filtering regression - MM

Description

update_beta_MM_TF updates beta in L2E trend filtering regression using the distance penalty

Usage

update_beta_MM_TF(y, X, beta, tau, D, k, rho, max_iter = 100, tol = 1e-04)

Arguments

y	Response vector
X	Design matrix
beta	Initial vector of regression coefficients
tau	Initial precision estimate
D	The fusion matrix
k	The number of nonzero entries in D*beta
rho	The parameter in the proximal distance algorithm
max_iter	Maximum number of iterations
tol	Relative tolerance

Value

Returns a list object containing the new estimate for beta (vector) and the number of iterations (scalar) the update step utilized

jocelynchi/L2E-package-demo documentation built on Oct. 6, 2022, 6:05 a.m.