Multiscale interpretation of taut string estimation and its connection to Unbalanced Haar wavelets

Haeran Cho*, Piotr Fryzlewicz

*Corresponding author for this work

Research output: Contribution to journalArticle (Academic Journal)peer-review

14 Citations (Scopus)

Abstract

We compare two state-of-the-art non-linear techniques for nonparametric function estimation via piecewise constant approximation: the taut string and the Unbalanced Haar methods. While it is well-known that the latter is multiscale, it is not obvious that the former can also be interpreted as multiscale. We provide a unified multiscale representation for both methods, which offers an insight into the relationship between them as well as suggesting lessons both methods can learn from each other.

Original languageEnglish
Pages (from-to)671-681
Number of pages11
JournalStatistics and Computing
Volume21
Issue number4
DOIs
Publication statusPublished - Oct 2011

Keywords

  • NONPARAMETRIC FUNCTION ESTIMATION
  • LINEAR-MODELS
  • Nonparametric function estimation
  • Unbalanced Haar wavelets
  • MULTIRESOLUTION
  • Multiscale
  • Taut string

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