Complexity Penalized M-Estimation

@article{Friedrich2008ComplexityPM,
  title={Complexity Penalized M-Estimation},
  author={F. Friedrich and A. Kempe and V. Liebscher and G. Winkler},
  journal={Journal of Computational and Graphical Statistics},
  year={2008},
  volume={17},
  pages={201 - 224}
}
  • F. Friedrich, A. Kempe, +1 author G. Winkler
  • Published 2008
  • Mathematics
  • Journal of Computational and Graphical Statistics
  • We present very fast algorithms for the exact computation of estimators for time series, based on complexity penalized log-likelihood or M-functions. The algorithms apply to a wide range of functionals with morphological constraints, in particular to Potts or Blake–Zisserman functionals. The latter are the discrete versions of the celebrated Mumford–Shah functionals. All such functionals contain model parameters. Our algorithms allow for optimization not only for each separate parameter, but… CONTINUE READING
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