Nonparametric denoising of signals with unknown local structure. I: Oracle inequalities

DOI10.1016/J.ACHA.2009.02.001MaRDI QIDQ837541zbMATH OpenOpenAlexWikidataFDO

Authors Anatoli Juditsky, Arkadi Nemirovski

Publication date 20 August 2009

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

Full work available at URL https://arxiv.org/abs/0809.0814

zbMATH Keywords

oracle inequalitiesadaptive filteringnonparametric denoising

Mathematics Subject Classification ID

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 pointwise estimation of multi-dimensional signals $s$, from noisy observations $(y_{a}u)$ on the regular grid $$. Our focus is on the adaptive estimation in the case when the signal can be well recovered using a (hypothetical) linear filter, which can depend on the unknown signal itself. The basic setting of the problem we address here can be summarized as follows: suppose that the signal $s$ is "well-filtered", i.e. there exists an adapted time-invariant linear filter $q_T^{\ast }$ with the coefficients which vanish outside the "cube" ${0,\mathrm{...},T}^d$ which recovers $s_0$ from observations with small mean-squared error. We suppose that we do not know the filter $q^{\ast }$, although, we do know that such a filter exists. We give partial answers to the following questions: -- is it possible to construct an adaptive estimator of the value $s_0$, which relies upon observations and recovers $s_0$ with basically the same estimation error as the unknown filter $q_T^{\ast }$? -- how rich is the family of well-filtered (in the above sense) signals? We show that the answer to the first question is affirmative and provide a numerically efficient construction of a nonlinear adaptive filter. Further, we establish a simple calculus of "well-filtered" signals, and show that their family is quite large: it contains, for instance, sampled smooth signals, sampled modulated smooth signals and sampled harmonic functions.

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Cited in

(8)

• Sharp oracle inequalities for aggregation of affine estimators
• Oracle Wiener filtering of a Gaussian signal
• Nonparametric denoising of signals of unknown local structure. II: Nonparametric function recovery
• Nonparametric denoising of signals with unknown local structure. I: Oracle inequalities
• Illumination problems in digital images. A statistical point of view
• Structural adaptive smoothing procedures
• On detecting harmonic oscillations
• Adaptive denoising of signals with local shift-invariant structure

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