Element-wise estimation error of a total variation regularized estimator for change point detection

01/03/2019

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by   Teng Zhang, et al.

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This work studies the total variation regularized ℓ_2 estimator (fused lasso) in the setting of a change point detection problem. Compared with existing works that focus on the sum of squared estimation errors, we give bound on the element-wise estimation error. Our bound is nearly optimal in the sense that the sum of squared error matches the best existing result, up to a logarithmic factor. This analysis of the element-wise estimation error allows a screening method that can approximately detect all the change points. We also generalize this method to the muitivariate setting, i.e., to the problem of group fused lasso.