$\ell_1$ Trend Filtering

DOI10.1137/070690274zbMath1171.37033OpenAlexW2089700840MaRDI QIDQ3632437

Kwangmoo Koh, Seung-Jean Kim, Dimitry M. Gorinevsky, Stephen P. Boyd

Publication date: 11 June 2009

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/070690274

zbMATH Keywords

time series analysisfeature selectiontrend estimationsparse signal recovery\(\ell_1\) regularizationpiecewise linear fittingHodrick-Prescott filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics (62P99) Time series analysis of dynamical systems (37M10)

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