# Questions tagged [fused-lasso]

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### Optimal penalty for finding changepoints with the fused lasso, assuming some probabilistic model?

I am interested in detecting changepoints in a signal using the fused lasso (as implemented here for example). I am in particular interested in getting estimates of changepoints which are close to the ...
45 views

### What's the rationale behind multiple response LASSO?

I understand that, with LASSO, the regularization term puts a constraint on the complexity of our regression model. Usually, for prediction applications, regularization makes the model perform better ...
186 views

### How can I make use of zip codes when I am building a model for fraud detection

I have gone through few articles but I am not convinced on what should I do with these. I know from business standpoint it might be good to consider fraudulent transactions happening from unknown ...
157 views

### Xgboost / Boosted decision trees: Representing categorical id numbers as continuous integer variable

I've been reading through some kernels at kaggle.com for a sales forecasting competition, and noticed that a lot of people using Xgboost are feeding it categorial ID variables, represented as ...
354 views

### Solving Linear Regression with Fused Lasso Regularization by MLE

I am currently reading a paper stating the following regression problem $$\text{min} \sum_{i=1}^N ||\beta\cdot x_i-y_i||\\ \text{subject to} \sum_{j=2}^M ||\beta_{j}-\beta_{j-1}|| \leq S$$ for ...
544 views

### Is there a “fused” version Ridge regression?

we know there is a fused version of LASSO. Fused LASSO adds a further regularizer demanding the smoothness of \beta. More details could be found here I am wondering why I cannot find something ...
824 views

### Group lasso for generalized linear models

Are there any references on using (sparse) group Lasso for GLMs? I am interested in Gamma GLMs. Any examples of software to perform this would also be appreciated.
73 views

### threshold rule for two penalty terms

Can any one recommend some reference or advice for getting a (hard) thresholding rule combining $\lambda_1$ and $\lambda_2$ for solving an optimization problem with the two penalty (regularization) ...
34 views

### Variable selection and merging categories after the fact

Notwithstanding the issues with certain variable selection procedures like stepwise regression, suppose you run some sort of variable selection to find significant categorical covariates in a ...
267 views

189 views

### predicting nearly constant data

How do you predict data that contains multiple levels of nearly constant data? Simple linear models even with weights (exponential) did not cut it. I experimented with some clustering and then ...
967 views

### The name of 'Fused' Lasso

As many of you know, the Fused Lasso is one of well known penalized methods, which is introduced by Tibshirani, 2005. However, I don't get to the meaning of how it is called. Could anyone give any ...
418 views

### Regression model selection when there are more variables than cases

I have a database with 200+ variables and less then 50 cases. I need to choose an optimal model that predicts one dependent variable. Are stepwise/lasso regressions still appropriate methods to ...
5k views

### Tools to detect jumps in a linear time series

I have a financial time series that has a linear down trend, but sometimes a jump happens (see image below). What statistical methods can I use to detect these jumps as early as possible?