A trend filtering method closely related to $$\ell _{1}$$ trend filtering |
| |
Authors: | Hiroshi Yamada |
| |
Institution: | 1.Department of Economics,Hiroshima University,Higashi-Hiroshima,Japan |
| |
Abstract: | The filtering method developed by Kim et al. (SIAM Rev 51:339–360, 2009), \(\ell _{1}\) trend filtering, is attractive because it enables us to estimate a continuous piecewise linear trend. This paper introduces a new filtering method closely related to \(\ell _{1}\) trend filtering in order to contribute to the accumulation of knowledge on \(\ell _{1}\) trend filtering. We show that the piecewise linearity, which is the key feature of \(\ell _{1}\) trend filtering, is derived from the new filtering. For this reason, we refer to the filtering as ‘pure’ \(\ell _{1}\) trend filtering. We also demonstrate some other miscellaneous results concerning the new filtering. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|