Wavelet thresholding in partially linear models: a computation and simulation

DOI10.1002/ASMB.499MaRDI QIDQ4676853zbMATH OpenOpenAlexFDO

Authors Leming Qu

Publication date 20 May 2005

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.499

zbMATH Keywords

minimax thresholdpartially linear modelssoft thresholdinguniversal thresholdwavelet

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Nonparametric regression and quantile regression (62G08) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical methods for wavelets (65T60)

Review text

The following problem is considered. Let \(y_1, y_2, \ldots, y_n\) be observed at non-stochastic points \(0 \leq t_1 < \ldots < t_n \leq 1\) of a predictor variable \(t.\) The response and predictor values are connected by a partially linear model \(y_i = x_i' \beta + f(t_i) + \sigma z_i\) for \(i=1, \ldots, n\), where \(x_i\) are fixed known \(p\)-dimensional vectors, \(\beta\) is the unknown \(p\)-dimensional parameter vector, \(f\) is an unknown function, \(\sigma\) is a known constant and \(z_1, \ldots,z_n\) are i.i.d. Gaussian random variables with mean zero and variance one. The parameter vector \(\beta\) and the function \(f\) are to be estimated. The author presents a wavelet thresholding method for estimating the corresponding parameters. A discrete wavelet transform is used for this estimation. A simulation study based on this method is carried out. The simulation results show that the wavelet smoothing approach is comparable to traditional smoothing methods when their assumptions are satisfied. But wavelet smoothing is often superior when the assumptions about the smoothness of the function of the nonparametric part are not satisfied.

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Cited in

(5)

• Three novel models of threshold estimator for wavelet coefficients
• scientific article; zbMATH DE number 5247145 (Why is no real title available?)
• Bayesian wavelet estimation of partially linear models
• Parametric modelling of thresholds across scales in wavelet regression
• Wavelet estimation of partially linear models

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