Madrid Padilla OH, Sharpnack J, Chen Y, Witten DM. Adaptive nonparametric regression with the
K-nearest neighbour fused lasso.
Biometrika 2020;
107:293-310. [PMID:
32454528 DOI:
10.1093/biomet/asz071]
[Citation(s) in RCA: 4] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Key Words] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 07/30/2018] [Indexed: 11/12/2022] Open
Abstract
The fused lasso, also known as total-variation denoising, is a locally adaptive function estimator over a regular grid of design points. In this article, we extend the fused lasso to settings in which the points do not occur on a regular grid, leading to a method for nonparametric regression. This approach, which we call the [Formula: see text]-nearest-neighbours fused lasso, involves computing the [Formula: see text]-nearest-neighbours graph of the design points and then performing the fused lasso over this graph. We show that this procedure has a number of theoretical advantages over competing methods: specifically, it inherits local adaptivity from its connection to the fused lasso, and it inherits manifold adaptivity from its connection to the [Formula: see text]-nearest-neighbours approach. In a simulation study and an application to flu data, we show that excellent results are obtained. For completeness, we also study an estimator that makes use of an [Formula: see text]-graph rather than a [Formula: see text]-nearest-neighbours graph and contrast it with the [Formula: see text]-nearest-neighbours fused lasso.
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