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Abstract Details

Activity Number: 636
Type: Invited
Date/Time: Thursday, August 2, 2012 : 10:30 AM to 12:20 PM
Sponsor: SSC
Abstract - #303726
Title: Fusion Estimation with $L_\Infty$ Forcing
Author(s): Keith Knight*+
Companies: University of Toronto
Address: Department of Statistics, University of Toronto, Toronto, ON, M5S 3G3, Canada
Keywords: fused lasso ; $L_\infty$ estimation ; constrained optimization

A number of methods (such as the fused lasso) have been proposed for estimating an unknown but blocky (piecewise constant) signal. Such methods can suffer from bias at and near the discontinuities in the signal. In this talk, we propose an estimation method that shrinks the $L_\infty$ norm of the residuals, thereby reducing bias.

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