Software

  • TVVAR: R implementation for the regularized estimation of sparse transition matrices of the time-varying vector autoregressive model (paper).

  • MMT: Matlab implementation for Multi-Task sparse learning (paper), including: (i) the Lasso; (ii) the standard multi-task Lasso (i.e., the group Lasso); (iii) the structured input-output multi-task Lasso (i.e., the two-graph guided multi-task Lasso).