update_beta_MM_TF {L2E}

Beta update in L2E trend filtering regression - MM

Description

update_beta_MM_TF updates beta in L2E trend filtering regression using the distance penalty

Usage

update_beta_MM_TF(y, X, beta, tau, D, k, rho, max_iter = 100, tol = 1e-04)

Arguments

y

Response vector

X

Design matrix

beta

Initial vector of regression coefficients

tau

Initial precision estimate

D

The fusion matrix

k

The number of nonzero entries in D*beta

rho

The parameter in the proximal distance algorithm

max_iter

Maximum number of iterations

tol

Relative tolerance

Value

Returns a list object containing the new estimate for beta (vector) and the number of iterations (scalar) the update step utilized