A trend filtering method closely related to ℓ_1 trend filtering

摘要

The filtering method developed by Kim et al. ( SIAM Rev 51: 339-360, 2009), L-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 L-1 trend filtering in order to contribute to the accumulation of knowledge on L-1 trend filtering. We show that the piecewise linearity, which is the key feature of L-1 trend filtering, is derived from the new filtering. For this reason, we refer to the filtering as ` pure' L-1 trend filtering. We also demonstrate some other miscellaneous results concerning the new filtering.