The tvdenoising package provides an implementation of an
efficient linear-time dynamic programming algorithm for univariate total
variation denoising (also called fused lasso signal approximation), due
to Johnson
(2013), which computes the exact solution, for a given
regularization level \(\lambda\). You
can also find a concise explanation of the algorithm at this
link.
To install the released version from CRAN:
install.packages("tvdenoising")To install the development version from GitHub:
# install.packages("pak")
pak::pak("glmgen/tvdenoising")