Piecewise Convex Function Estimation: Representations, Duality and Model Selection

Abstract: We consider spline estimates which preserve prescribed piecewise convex properties of the unknown function. A robust version of the penalized likelihood is given and shown to correspond to a variable halfwidth kernel smoother where the halfwidth adaptively decreases in regions of rapid change of the unknown function. When the convexity change points are prescribed, we derive representation results and smoothness properties of the estimates. A dual formulation is given which reduces the estimate is reduced to a finite dimensional convex optimization in the dual space.