Piecewise Convex Function Estimation: Pilot Estimators

TL;DR

This paper introduces a two-stage method for estimating piecewise convex functions from noisy data, effectively identifying change points and achieving optimal convergence rates in mean integrated square error.

Contribution

The paper proposes a novel two-stage estimator that accurately detects convexity change points and attains the optimal MISE convergence rate, improving over traditional methods.

Findings

The two-stage estimator accurately detects change points in noisy data.

The method achieves the optimal rate of convergence for MISE.

False change points decrease as smoothing parameters are properly chosen.

Abstract

Given noisy data, function estimation is considered when the unknown function is known a priori to consist of a small number of regions where the function is either convex or concave. When the number of regions is unknown, the model selection problem is to determine the number of convexity change points. For kernel estimates in Gaussian noise, the number of false change points is evaluated as a function of the smoothing parameter. To ensure that the number of false convexity change points tends to zero, the smoothing level must be larger than is generically optimal for minimizing the mean integrated square error (MISE). A two-stage estimator is proposed and shown to achieve the optimal rate of convergence of the MISE. In the first-stage, the number and location of the change points is estimated using strong smoothing. In the second-stage, a constrained smoothing spline fit is performed with the smoothing level chosen to minimize the MISE. The imposed constraint is that a single change point occur in a region about each empirical change point from the first-stage estimate. This constraint is equivalent to the requirement that the third derivative of the second-stage estimate have a single sign in a small neighborhood about each first-stage change point. The change points from the second-stage are in a neighborhood of the first-stage change points, but need not be at the identical locations.