Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model

Author:

Nasir Muhammad Jaffri MohdORCID,Khan Ramzan NazimORCID,Nair GopalanORCID,Nur DarfianaORCID

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference56 articles.

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3. Bickel PJ, Ritov Y, Tsybakov AB (2009) Simultaneous analysis of LASSO and Dantzig selector. Ann Stat 37(4):1705–1732

4. Boysen L, Kempe A, Liebscher V, Munk A, Wittich O (2009) Consistencies and rates of convergence of jump-penalized least squares estimators. Ann Stat 37(1):157–183

5. Bradley JK, Kyrola A, Bickson D, Guestrin C (2011) Parallel coordinate descent for L1-regularized loss minimization. In: Proceedings of the 28th international conference on machine learning. ICML (1998), pp 321–328

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