Spline-Lasso in High-Dimensional Linear Regression
高维线性回归中的样条 Lasso
We consider a high-dimensional linear regression problem, where the covariates (features) are ordered in some meaningful way, and the number of covariates p can be much larger than the sample size n. The fused lasso of Tibshirani et al. is designed especially to tackle this type of problems; it yields sparse coefficients and selects grouped variables, and encourages local constant coefficient profile within each group. However, in some applications, the effects of different…