Empirical Bayes selection of wavelet thresholds

DOI10.1214/009053605000000345zbMATH Open1078.62005arXivmath/0508281OpenAlexW1964809923MaRDI QIDQ2583417FDOQ2583417

Authors: Iain M. Johnstone, Bernhard W. Silverman 

Publication date: 16 January 2006

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

Abstract: This paper explores a class of empirical Bayes methods for level-dependent threshold selection in wavelet shrinkage. The prior considered for each wavelet coefficient is a mixture of an atom of probability at zero and a heavy-tailed density. The mixing weight, or sparsity parameter, for each level of the transform is chosen by marginal maximum likelihood. If estimation is carried out using the posterior median, this is a random thresholding procedure; the estimation can also be carried out using other thresholding rules with the same threshold. Details of the calculations needed for implementing the procedure are included. In practice, the estimates are quick to compute and there is software available. Simulations on the standard model functions show excellent performance, and applications to data drawn from various fields of application are used to explore the practical performance of the approach. By using a general result on the risk of the corresponding marginal maximum likelihood approach for a single sequence, overall bounds on the risk of the method are found subject to membership of the unknown function in one of a wide range of Besov classes, covering also the case of f of bounded variation. The rates obtained are optimal for any value of the parameter p in (0,infty], simultaneously for a wide range of loss functions, each dominating the L_q norm of the sigmath derivative, with sigmage0 and 0<qle2.

Full work available at URL: https://arxiv.org/abs/math/0508281

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Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Empirical decision procedures; empirical Bayes procedures (62C12) Image analysis in multivariate analysis (62H35) Numerical methods for wavelets (65T60)

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Uses Software

• R
• AWS
• EbayesThresh
• EBayesThresh

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