Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model (Q6581310)
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scientific article; zbMATH DE number 7889347
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| English | Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model |
scientific article; zbMATH DE number 7889347 |
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Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model (English)
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30 July 2024
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Karush-Kuhn-Tucker
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group LASSO
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SETAR
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\textit{aBCD} algorithm
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BEA
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sparsity conditions
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