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 ...
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120 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 ...
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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 ...
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26 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 ...
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98 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 ...
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Degree of freedom of estimated sotuioin to the total variation problem from the ADMM algorithm

The study of the total variation problem is to solve the following problem: $$ \text{minimize} ~ \frac{1}{2}||x - b||_2^2 + \lambda * \sum_i^N |x_{i+1} - x_i| $$ where $x$ is the unknown, $b$ in $R^...
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68 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) ...