Citation:
Han, X. ; Schied, A. . Robust Faber--Schauder Approximation Based On Discrete Observations Of An Antiderivative. arXiv:2211.11907, Submitted, pp. 1-29.
Abstract:
We study the problem of reconstructing the Faber--Schauder coefficients of a continuous function f from discrete observations of its antiderivative F. Our approach starts with formulating this problem through piecewise quadratic spline interpolation. We then provide a closed-form solution and an in-depth error analysis. These results lead to some surprising observations, which also throw new light on the classical topic of quadratic spline interpolation itself: They show that the well-known instabilities of this method can be located exclusively within the final generation of estimated Faber--Schauder coefficients, which suffer from non-locality and strong dependence on the initial value and the given data. By contrast, all other Faber--Schauder coefficients depend only locally on the data, are independent of the initial value, and admit uniform error bounds. We thus conclude that a robust and well-behaved estimator for our problem can be obtained by simply dropping the final-generation coefficients from the estimated Faber--Schauder coefficients.