Abstract:The main result of this article is that we obtain an elementwise error bound for the Fused Lasso estimator for any general convex loss function ρ. We then focus on the special cases when either ρ is the square loss function (for mean regression) or is the quantile loss function (for quantile regression) for which we derive new pointwise error bounds. Even though error bounds for the usual Fused Lasso estimator and its quantile version have been studied before; our bound appears to be new. This is because all p… Show more
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