Multiscale likelihood analysis and complexity penalized estimation.

DOI10.1214/009053604000000076MaRDI QIDQ1879941zbMATH OpenOpenAlexFDO

Authors Eric D. Kolaczyk, Robert D. Nowak

Publication date 15 September 2004

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0406424

zbMATH Keywords

model selectionminimaxKullback-Leibler divergencerecursive partitioningfactorizationHellinger distancemultiresolutionHaar basesthresholding estimators

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Nonparametric estimation (62G05) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Minimax procedures in statistical decision theory (62C20)

Abstract: We describe here a framework for a certain class of multiscale likelihood factorizations wherein, in analogy to a wavelet decomposition of an L^2 function, a given likelihood function has an alternative representation as a product of conditional densities reflecting information in both the data and the parameter vector localized in position and scale. The framework is developed as a set of sufficient conditions for the existence of such factorizations, formulated in analogy to those underlying a standard multiresolution analysis for wavelets, and hence can be viewed as a multiresolution analysis for likelihoods. We then consider the use of these factorizations in the task of nonparametric, complexity penalized likelihood estimation. We study the risk properties of certain thresholding and partitioning estimators, and demonstrate their adaptivity and near-optimality, in a minimax sense over a broad range of function spaces, based on squared Hellinger distance as a loss function. In particular, our results provide an illustration of how properties of classical wavelet-based estimators can be obtained in a single, unified framework that includes models for continuous, count and categorical data types.

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Cited in

(18)

• On the covariance properties of certain multiscale spatial processes
• Multiply-rooted multiscale models for large-scale estimation
• Bayesian Smoothing of Photon-Limited Images with Applications in Astronomy
• Boundary Detection Using a Bayesian Hierarchical Model for Multiscale Spatial Data
• Multiscale change point inference. With discussion and authors' reply
• Filtering the Maximum Likelihood for Multiscale Problems
• Poisson inverse problems
• Fisher Exact Scanning for Dependency
• Bayesian multiscale smoothing of Gaussian noised images
• Poisson noise reduction with non-local PCA
• Multiscale statistical models
• Plugin procedure in segmentation and application to hyperspectral image segmentation
• Multiple testing approaches for removing background noise from images
• scientific article; zbMATH DE number 1405811 (Why is no real title available?)
• Poisson Noise Reduction with Higher-Order Natural Image Prior Model
• Estimating the intensity of a random measure by histogram type estimators
• Estimator selection with respect to Hellinger-type risks
• Data-driven wavelet-Fisz methodology for nonparametric function estimation

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