## Wavelet shrinkage: asymptopia (1995)

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Venue: | Journal of the Royal Statistical Society, Ser. B |

Citations: | 239 - 35 self |

### BibTeX

@ARTICLE{Donoho95waveletshrinkage:,

author = {David L. Donoho and Iain M. Johnstone and Gerard Kerkyacharian and Dominique Picard},

title = {Wavelet shrinkage: asymptopia},

journal = {Journal of the Royal Statistical Society, Ser. B},

year = {1995},

pages = {371--394}

}

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### Abstract

Considerable e ort has been directed recently to develop asymptotically minimax methods in problems of recovering in nite-dimensional objects (curves, densities, spectral densities, images) from noisy data. A rich and complex body of work has evolved, with nearly- or exactly- minimax estimators being obtained for a variety of interesting problems. Unfortunately, the results have often not been translated into practice, for a variety of reasons { sometimes, similarity to known methods, sometimes, computational intractability, and sometimes, lack of spatial adaptivity. We discuss a method for curve estimation based on n noisy data; one translates the empirical wavelet coe cients towards the origin by an amount p p 2 log(n) = n. The method is di erent from methods in common use today, is computationally practical, and is spatially adaptive; thus it avoids a number of previous objections to minimax estimators. At the same time, the method is nearly minimax for a wide variety of loss functions { e.g. pointwise error, global error measured in L p norms, pointwise and global error in estimation of derivatives { and for a wide range of smoothness classes, including standard Holder classes, Sobolev classes, and Bounded Variation. This is amuch broader near-optimality than anything previously proposed in the minimax literature. Finally, the theory underlying the method is interesting, as it exploits a correspondence between statistical questions and questions of optimal recovery and information-based complexity.