l2e_regression_TF_lasso {L2E}

L2E trend filtering regression with Lasso penalization

Description

l2e_regression_TF_lasso performs robust trend filtering regression under the L2 criterion with Lasso penalty

Usage

l2e_regression_TF_lasso(
  y,
  X,
  beta,
  tau,
  D,
  lambda = 1,
  max_iter = 100,
  tol = 1e-04,
  Show.Time = TRUE
)

Arguments

y

Response vector

X

Design matrix

beta

Initial vector of regression coefficients

tau

Initial precision estimate

D

The fusion matrix

lambda

The tuning parameter

max_iter

Maximum number of iterations

tol

Relative tolerance

Show.Time

Report the computing time