Assaf Zeevi

Change-point estimation from indirect observations. 2. Adaptation

Coauthor(s): Alexander Goldenshluger, A. Juditsky, A. Tsybakov.

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Abstract:

We focus on the problem of adaptive estimation of signal singularities from indirect and noisy observations. A typical example of such a singularity is a discontinuity (change-point) of the signal or of its derivative. We develop a change-point estimator which adapts to the unknown smoothness of a nuisance deterministic component and to an unknown jump amplitude. We show that the proposed estimator attains optimal adaptive rates of convergence. A simulation study demonstrates reasonable practical behavior of the proposed adaptive estimates.

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Source: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
Exact Citation:
Goldenshluger, Alexander, A. Juditsky, A. Tsybakov, and Assaf Zeevi. "Change-point estimation from indirect observations. 2. Adaptation." Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 44, no. 5 (2008): 819-836.
Volume: 44
Number: 5
Pages: 819-836
Date: 2008