2026
Sparse Regression with $\ell_0$ Constraints for $\alpha$-Mixing Time Series: Algorithms and Guarantees
ICML 2026poster
Exact sparse methods based on $\ell_0$ constraints are increasingly used for interpretable and scalable time series modeling, where one aims to recover a small set of informative lags/factors while maintaining strong predictive performance and low computational cost. Despite their empirical success,…