Posterior probability intervals in Bayesian wavelet estimation

Authors: C. Semadeni¹; A. C. Davison¹; D. V. Hinkley²

Source: Biometrika, Volume 91, Number 2, June 2004 , pp. 497-505(9)

Buy & download fulltext article:

Price: $35.78 plus tax (Refund Policy)

Abstract:

We use saddlepoint approximation to derive credible intervals for Bayesian wavelet regression estimates. Simulations show that the resulting intervals perform better than the best existing method.

Keywords: Bayesian thresholding; Discrete wavelet transform; Mixture distribution; Nonparameter regression; Saddlepoint approximation

Document Type: Research article

Affiliations: 1: Institute of Mathematics, Swiss Federal Institute of Technology, 1015 Lausanne, Switzerland anthony.davison@epfl.ch, Email: claudio.semadeni@a3.epfl.ch 2: Department of Statistics and Applied Probability, University of California, Santa Barbara, California 93106-3110, U.S.A., Email: hinkley@pstat.ucsb.edu

Publication date: 2004-06-01