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arXiv · 1311.2234

FuSSO: Functional Shrinkage and Selection Operator

Junier B. Oliva·Barnabas Poczos·Timothy Verstynen·Aarti Singh·Jeff Schneider·Fang-Cheng Yeh·Wen-Yih Tseng
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Abstract

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 covariates 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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Junier B. Oliva, Barnabas Poczos, Timothy Verstynen, Aarti Singh, Jeff Schneider, Fang-Cheng Yeh, Wen-Yih Tseng. 2014-03-09. FuSSO: Functional Shrinkage and Selection Operator. https://arxiv.org/abs/1311.2234

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