FuSSO: Functional Shrinkage and Selection Operator

Junier B. Oliva, Barnabás Póczos, Timothy D. Verstynen, Aarti Singh, Jeff G. Schneider, Fang-Cheng Yeh, Wen-Yih Isaac Tseng

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-p...