Nonparametric denoising of signals of unknown local structure. II: Nonparametric function recovery

DOI10.1016/J.ACHA.2010.01.003MaRDI QIDQ711050zbMATHOpenAlexWikidataFDO

Authors Arkadi Nemirovski, Anatoli Juditsky

Publication date 25 October 2010

Published in Applied and Computational Harmonic Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0903.0913

minimax estimation adaptive filtering nonparametric function estimation nonparametric denoising

Nonparametric regression and quantile regression (62G08) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Detection theory in information and communication theory (94A13) Estimation and detection in stochastic control theory (93E10)

Abstract: We consider the problem of recovering of continuous multi-dimensional functions from the noisy observations over the regular grid. Our focus is at the adaptive estimation in the case when the function can be well recovered using a linear filter, which can depend on the unknown function itself. In the companion paper "Nonparametric Denoising of Signals with Unknown Local Structure, I: Oracle Inequalities" we have shown in the case when there exists an adapted time-invariant filter, which locally recovers "well" the unknown signal, there is a numerically efficient construction of an adaptive filter which recovers the signals "almost as well". In the current paper we study the application of the proposed estimation techniques in the non-parametric regression setting. Namely, we propose an adaptive estimation procedure for "locally well-filtered" signals (some typical examples being smooth signals, modulated smooth signals and harmonic functions) and show that the rate of recovery of such signals in the

e l l_{p}

-norm on the grid is essentially the same as that rate for regular signals with nonhomogeneous smoothness.

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