Path algorithms for fused lasso signal approximator with application to COVID‐19 spread in Korea
Summary The fused lasso signal approximator (FLSA) is a smoothing procedure for noisy observations that uses fused lasso penalty on unobserved mean levels to find sparse signal blocks. Several path algorithms have been developed to obtain the whole solution path of the FLSA. However, it is known tha...
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| Published in | International statistical review Vol. 91; no. 2; pp. 218 - 242 |
|---|---|
| Main Authors | , , |
| Format | Journal Article |
| Language | English |
| Published |
Netherlands
John Wiley & Sons, Inc
01.08.2023
John Wiley and Sons Inc |
| Subjects | |
| Online Access | Get full text |
| ISSN | 0306-7734 1751-5823 1751-5823 |
| DOI | 10.1111/insr.12521 |
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| Abstract | Summary
The fused lasso signal approximator (FLSA) is a smoothing procedure for noisy observations that uses fused lasso penalty on unobserved mean levels to find sparse signal blocks. Several path algorithms have been developed to obtain the whole solution path of the FLSA. However, it is known that the FLSA has model selection inconsistency when the underlying signals have a stair‐case block, where three consecutive signal blocks are either strictly increasing or decreasing. Modified path algorithms for the FLSA have been proposed to guarantee model selection consistency regardless of the stair‐case block. In this paper, we provide a comprehensive review of the path algorithms for the FLSA and prove the properties of the recently modified path algorithms' hitting times. Specifically, we reinterpret the modified path algorithm as the path algorithm for local FLSA problems and reveal the condition that the hitting time for the fusion of the modified path algorithm is not monotone in a tuning parameter. To recover the monotonicity of the solution path, we propose a pathwise adaptive FLSA having monotonicity with similar performance as the modified solution path algorithm. Finally, we apply the proposed method to the number of daily‐confirmed cases of COVID‐19 in Korea to identify the change points of its spread. |
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| AbstractList | The fused lasso signal approximator (FLSA) is a smoothing procedure for noisy observations that uses fused lasso penalty on unobserved mean levels to find sparse signal blocks. Several path algorithms have been developed to obtain the whole solution path of the FLSA. However, it is known that the FLSA has model selection inconsistency when the underlying signals have a stair‐case block, where three consecutive signal blocks are either strictly increasing or decreasing. Modified path algorithms for the FLSA have been proposed to guarantee model selection consistency regardless of the stair‐case block. In this paper, we provide a comprehensive review of the path algorithms for the FLSA and prove the properties of the recently modified path algorithms' hitting times. Specifically, we reinterpret the modified path algorithm as the path algorithm for local FLSA problems and reveal the condition that the hitting time for the fusion of the modified path algorithm is not monotone in a tuning parameter. To recover the monotonicity of the solution path, we propose a pathwise adaptive FLSA having monotonicity with similar performance as the modified solution path algorithm. Finally, we apply the proposed method to the number of daily‐confirmed cases of COVID‐19 in Korea to identify the change points of its spread. Summary The fused lasso signal approximator (FLSA) is a smoothing procedure for noisy observations that uses fused lasso penalty on unobserved mean levels to find sparse signal blocks. Several path algorithms have been developed to obtain the whole solution path of the FLSA. However, it is known that the FLSA has model selection inconsistency when the underlying signals have a stair‐case block, where three consecutive signal blocks are either strictly increasing or decreasing. Modified path algorithms for the FLSA have been proposed to guarantee model selection consistency regardless of the stair‐case block. In this paper, we provide a comprehensive review of the path algorithms for the FLSA and prove the properties of the recently modified path algorithms' hitting times. Specifically, we reinterpret the modified path algorithm as the path algorithm for local FLSA problems and reveal the condition that the hitting time for the fusion of the modified path algorithm is not monotone in a tuning parameter. To recover the monotonicity of the solution path, we propose a pathwise adaptive FLSA having monotonicity with similar performance as the modified solution path algorithm. Finally, we apply the proposed method to the number of daily‐confirmed cases of COVID‐19 in Korea to identify the change points of its spread. The fused lasso signal approximator (FLSA) is a smoothing procedure for noisy observations that uses fused lasso penalty on unobserved mean levels to find sparse signal blocks. Several path algorithms have been developed to obtain the whole solution path of the FLSA. However, it is known that the FLSA has model selection inconsistency when the underlying signals have a stair-case block, where three consecutive signal blocks are either strictly increasing or decreasing. Modified path algorithms for the FLSA have been proposed to guarantee model selection consistency regardless of the stair-case block. In this paper, we provide a comprehensive review of the path algorithms for the FLSA and prove the properties of the recently modified path algorithms' hitting times. Specifically, we reinterpret the modified path algorithm as the path algorithm for local FLSA problems and reveal the condition that the hitting time for the fusion of the modified path algorithm is not monotone in a tuning parameter. To recover the monotonicity of the solution path, we propose a pathwise adaptive FLSA having monotonicity with similar performance as the modified solution path algorithm. Finally, we apply the proposed method to the number of daily-confirmed cases of COVID-19 in Korea to identify the change points of its spread.The fused lasso signal approximator (FLSA) is a smoothing procedure for noisy observations that uses fused lasso penalty on unobserved mean levels to find sparse signal blocks. Several path algorithms have been developed to obtain the whole solution path of the FLSA. However, it is known that the FLSA has model selection inconsistency when the underlying signals have a stair-case block, where three consecutive signal blocks are either strictly increasing or decreasing. Modified path algorithms for the FLSA have been proposed to guarantee model selection consistency regardless of the stair-case block. In this paper, we provide a comprehensive review of the path algorithms for the FLSA and prove the properties of the recently modified path algorithms' hitting times. Specifically, we reinterpret the modified path algorithm as the path algorithm for local FLSA problems and reveal the condition that the hitting time for the fusion of the modified path algorithm is not monotone in a tuning parameter. To recover the monotonicity of the solution path, we propose a pathwise adaptive FLSA having monotonicity with similar performance as the modified solution path algorithm. Finally, we apply the proposed method to the number of daily-confirmed cases of COVID-19 in Korea to identify the change points of its spread. |
| Author | Yu, Donghyeon Son, Won Lim, Johan |
| AuthorAffiliation | 1 Department of Information Statistics Dankook University Gyeonggi‐do Korea 3 Department of Statistics Inha University Incheon Korea 2 Department of Statistics Seoul National University Seoul Korea |
| AuthorAffiliation_xml | – name: 1 Department of Information Statistics Dankook University Gyeonggi‐do Korea – name: 3 Department of Statistics Inha University Incheon Korea – name: 2 Department of Statistics Seoul National University Seoul Korea |
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| BackLink | https://www.ncbi.nlm.nih.gov/pubmed/36710888$$D View this record in MEDLINE/PubMed |
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| Keywords | solution path pathwise adaptive weight Change points fused lasso signal approximator modified path algorithm |
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The fused lasso signal approximator (FLSA) is a smoothing procedure for noisy observations that uses fused lasso penalty on unobserved mean levels to... The fused lasso signal approximator (FLSA) is a smoothing procedure for noisy observations that uses fused lasso penalty on unobserved mean levels to find... |
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| SubjectTerms | Algorithms Change points COVID-19 fused lasso signal approximator modified path algorithm Original Parameter modification pathwise adaptive weight solution path |
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| Title | Path algorithms for fused lasso signal approximator with application to COVID‐19 spread in Korea |
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