Frequentist optimality of Bayesian wavelet shrinkage rules for Gaussian and non-Gaussian noise
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Publication:2497181
Abstract: The present paper investigates theoretical performance of various Bayesian wavelet shrinkage rules in a nonparametric regression model with i.i.d. errors which are not necessarily normally distributed. The main purpose is comparison of various Bayesian models in terms of their frequentist asymptotic optimality in Sobolev and Besov spaces. We establish a relationship between hyperparameters, verify that the majority of Bayesian models studied so far achieve theoretical optimality, state which Bayesian models cannot achieve optimal convergence rate and explain why it happens.
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Cited in
(13)- Regression in random design and Bayesian warped wavelets estimators
- Pointwise optimality of Bayesian wavelet estimators
- Empirical Bayes selection of wavelet thresholds
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- Optimal convergence rates of Bayesian wavelet estimation with a novel empirical prior in nonparametric regression model
- Frequentist optimal of Bayesian wavelet shrinkage rules
- On posterior distribution of Bayesian wavelet thresholding
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