An algorithm for the multivariate group lasso with covariance estimation (Q5139028)
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scientific article; zbMATH DE number 7282452
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An algorithm for the multivariate group lasso with covariance estimation |
scientific article; zbMATH DE number 7282452 |
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An algorithm for the multivariate group lasso with covariance estimation (English)
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4 December 2020
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categorical variables
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group Lasso
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multivariate regression
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penalized maximum likelihood
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sparsity
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time series
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