Consistency of Sparse-Group Lasso Graphical Model Selection for Time Series.
Jitendra K. TugnaitPublished in: ACSSC (2020)
Keyphrases
- group lasso
- model selection
- regression model
- variable selection
- cross validation
- sample size
- hyperparameters
- statistical learning
- meta learning
- machine learning
- gaussian process
- statistical inference
- efficient optimization
- generalization error
- learning machines
- feature selection
- graphical models
- gaussian processes
- multi task
- learning tasks
- high dimensional