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FuSSO: Functional shrinkage and selection operator
Conference paper   Peer reviewed

FuSSO: Functional shrinkage and selection operator

Junier B. Oliva, Barnabás Póczos, Timothy Verstynen, Aarti Singh, Jeff Schneider and Fang-Cheng Yeh
Journal of Machine Learning Research, Vol.33, pp.715-723
2014

Abstract

Software Control and Systems Engineering Statistics and Probability Artificial Intelligence
We present the FuSSO, a functional analogue to the LASSO, that efficiently finds a sparse set of functional input covariates to regress a real-valued response against. The FuSSO does so in a semi-parametric fashion, making no parametric assumptions about the nature of input functional covariates and assuming a linear form to the mapping of functional co-variates to the response. We provide a statistical backing for use of the FuSSO via proof of asymptotic sparsistency under various conditions. Furthermore, we observe good results on both synthetic and real-world data.

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