L0TFinv

MaRDI QIDQ7384518CRANFDO

Authors Tianhao Wang, Canhong Wen

Last update 10 June 2025

Copyright license GNU General Public License

Software version identifier 0.1.0

Description

Trend filtering is a widely used nonparametric method for knot detection. This package provides an efficient solution for L0 trend filtering, avoiding the traditional methods of using Lagrange duality or Alternating Direction Method of Multipliers algorithms. It employ a splicing approach that minimizes L0-regularized sparse approximation by transforming the L0 trend filtering problem. The package excels in both efficiency and accuracy of trend estimation and changepoint detection in segmented functions. References: Wen et al. (2020) <doi:10.18637/jss.v094.i04>; Zhu et al. (2020)<doi:10.1073/pnas.2014241117>; Wen et al. (2023) <doi:10.1287/ijoc.2021.0313>.

Cites work

• A polynomial algorithm for best-subset selection problem
• BeSS: An R Package for Best Subset Selection in Linear, Logistic and Cox Proportional Hazards Models
• ℓ₀ Trend Filtering

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