Variance estimation in graphs with the fused lasso

arXiv:2207.12638v3 Announce Type: replace-cross
Abstract: We study the problem of variance estimation in general graph-structured problems. First, we develop a linear time estimator for the homoscedastic case that can consistently estimate the variance in general graphs. We show that our estimator attains minimax rates for the chain and 2D grid graphs when the mean signal has total variation with canonical scaling. Furthermore, we provide general upper bounds on the mean squared error performance of the fused lasso estimator in general …

abstract arxiv case cs.lg general graph graphs grid lasso linear math.st minimax show stat.ml stat.th study type variance