### Abstract

We address the problem of how to compute the coefficient path implicitly deﬁned by the diﬀerential geometric LARS (dgLARS) method in a high-dimensional setting. Although the geometrical theory developed to deﬁne the dgLARS method does not need of the deﬁnition of a penalty function, we show that it is possible to develop a cyclic coordinate descent algorithm to compute the solution curve in a high-dimensional setting. Simulation studies show that the proposed algorithm is significantly faster than the prediction-corrector algorithm originally developed to compute the dgLARS solution curve.

Lingua originale | English |
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Pagine | 67-79 |

Numero di pagine | 13 |

Stato di pubblicazione | Published - 2012 |