$\ell_1$ Trend Filtering
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Publication:3632437
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
time series analysisfeature selectiontrend estimationsparse signal recovery\(\ell_1\) regularizationpiecewise linear fittingHodrick-Prescott filtering
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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