Multiscale interpretation of taut string estimation and its connection to Unbalanced Haar wavelets |
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Authors: | Haeran Cho Piotr Fryzlewicz |
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Institution: | 1.Department of Statistics, Columbia House,London School of Economics,London,UK |
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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. |
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Keywords: | |
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