How to monitor and mitigate stair-casing in l1 trend filtering

1 Dec 2014 Cristian R. Rojas Bo Wahlberg

In this paper we study the estimation of changing trends in time-series using $\ell_1$ trend filtering. This method generalizes 1D Total Variation (TV) denoising for detection of step changes in means to detecting changes in trends, and it relies on a convex optimization problem for which there are very efficient numerical algorithms... (read more)

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