Consistencies and rates of convergence of jump-penalized least squares estimators

DOI10.1214/07-AOS558zbMath1155.62034arXiv0902.4838MaRDI QIDQ1002154

Volkmar Liebscher, Olaf Wittich, Axel Munk, Leif Boysen, Angela Kempe

Publication date: 25 February 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0902.4838

zbMATH Keywords

Skorokhod topologyapproximation spacesadaptive estimationvariable selectionjump detectionpenalized maximum likelihoodPotts functionalchange-point analysismultiscale resolution analysisregressogram

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Approximation by polynomials (41A10) Rate of convergence, degree of approximation (41A25)

Related Items (53)

Multiscale Quantile Segmentation ⋮ A computationally efficient nonparametric approach for changepoint detection ⋮ Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection ⋮ Properties and refinements of the fused Lasso ⋮ Mumford-Shah and Potts regularization for manifold-valued data ⋮ A heuristic, iterative algorithm for change-point detection in abrupt change models ⋮ Rank-based multiple change-point detection ⋮ Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models ⋮ Robust change point detection method via adaptive LAD-Lasso ⋮ Univariate mean change point detection: penalization, CUSUM and optimality ⋮ Recursive computation of piecewise constant volatilities ⋮ LASSO estimation of threshold autoregressive models ⋮ Multiple change points detection in high-dimensional multivariate regression ⋮ Complexity \(L^0\)-penalized \(M\)-estimation: consistency in more dimensions ⋮ Efficient multiple change point detection for high‐dimensional generalized linear models ⋮ Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime ⋮ Hypothesis testing for populations of networks ⋮ Multiple change-points detection in high dimension ⋮ On estimation of isotonic piecewise constant signals ⋮ Optimal change-point detection and localization ⋮ Locally adaptive image denoising by a statistical multiresolution criterion ⋮ Jump-penalized least absolute values estimation of scalar or circle-valued signals ⋮ Bump detection in the presence of dependency: does it ease or does it load? ⋮ Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models ⋮ Statistical multiresolution Dantzig estimation in imaging: fundamental concepts and algorithmic framework ⋮ Consistent change-point detection with kernels ⋮ Statistical methodology in single-molecule experiments ⋮ Complexity penalized least squares estimators: Analytical results ⋮ Wild binary segmentation for multiple change-point detection ⋮ Non-smooth Variational Regularization for Processing Manifold-Valued Data ⋮ Statistical challenges in microrheology ⋮ Approximate \(\ell_0\)-penalized estimation of piecewise-constant signals on graphs ⋮ Tail-greedy bottom-up data decompositions and fast multiple change-point detection ⋮ Multiscale blind source separation ⋮ Estimating the Number of Block Boundaries from Diagonal Blockwise Matrices Without Penalization ⋮ A Kernel Multiple Change-point Algorithm via Model Selection ⋮ Two-stage data segmentation permitting multiscale change points, heavy tails and dependence ⋮ Optimal covariance change point localization in high dimensions ⋮ FDR-control in multiscale change-point segmentation ⋮ Nonparametric maximum likelihood approach to multiple change-point problems ⋮ Iterative Potts minimization for the recovery of signals with discontinuities from indirect measurements: the multivariate case ⋮ Exact Spike Train Inference Via $\ell_0$ Optimization ⋮ Changepoint detection by the quantile Lasso method ⋮ Group LASSO for Structural Break Time Series ⋮ Fused-MCP With Application to Signal Processing ⋮ Convergence rates of least squares regression estimators with heavy-tailed errors ⋮ Modified path algorithm of fused Lasso signal approximator for consistent recovery of change points ⋮ Mining events with declassified diplomatic documents ⋮ Multiscale change-point segmentation: beyond step functions ⋮ Consistency of a range of penalised cost approaches for detecting multiple changepoints ⋮ The $L^1$-Potts Functional for Robust Jump-Sparse Reconstruction ⋮ Multiscale Change Point Inference ⋮ Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions

Uses Software

• ftnonpar

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Sparse estimators and the oracle property, or the return of Hodges' estimator
• Don't shed tears over breaks
• Estimating the number of change-points via Schwarz' criterion
• Change-points in nonparametric regression analysis
• Piecewise polynomial approximation on optimal meshes
• Nonparametric estimation of piecewise smooth regression functions
• Robust priors for smoothing and image restoration
• An introduction to \(\Gamma\)-convergence
• Change point estimation using nonparametric regression
• Locally adaptive regression splines
• CART and best-ortho-basis: a connection
• Image denoising: Pointwise adaptive approach
• Wedgelets: Nearly minimax estimation of edges
• Estimation of a function with discontinuities via local polynomial fit with an adaptive window choice
• Discontinuous versus smooth regression
• Epi-convergence of sequences of normal integrands and strong consistency of the maximum likelihood estimator
• Scale space view of curve estimation.
• Local extremes, runs, strings and multiresolution. (With discussion)
• Least squares estimation with complexity penalties
• Minimal penalties for Gaussian model selection
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Edge-Preserving Smoothers for Image Processing
• On a Conjecture of Revesz
• Ideal spatial adaptation by wavelet shrinkage
• A nonlinear gaussian filter applied to images with discontinuities
• Multiple changepoint fitting via quasilikelihood, with application to DNA sequence segmentation
• On the law of the iterated logarithm for double sequences of random variables
• Smoothers for Discontinuous Signals
• Scale space consistency of piecewise constant least squares estimators – another look at the regressogram
• For most large underdetermined systems of linear equations the minimal 𝓁₁‐norm solution is also the sparsest solution
• For most large underdetermined systems of equations, the minimal 𝓁₁‐norm near‐solution approximates the sparsest near‐solution
• Inference about the change-point in a sequence of random variables

This page was built for publication: Consistencies and rates of convergence of jump-penalized least squares estimators