Skip Navigation

Biometrika 1998 85(3):701-710; doi:10.1093/biomet/85.3.701
© 1998 by Biometrika Trust
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by HURVICH, C. M.
Right arrow Articles by TSAI, C.-L.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

A crossvalidatory AIC for hard wavelet thresholding in spatially adaptive function estimation

CLIFFORD M. HURVICH and CHIH-LING TSAI

Department of Statistics and Operations Research, New York University 44 West Fourth Street, New York, New York 10012, U.S.A.churvich{at}stern.nyu.edu
Graduate School of Management, University of California Davis, California 95616, U.S.A.cltsai{at}ucdavis.edu

We consider the selection of a hard wavelet threshold for recovery of a signal embedded in additive Gaussian white noise. This is closely related to the problem of selection of a subset model in orthogonal normal linear regression. We start with a discussion of Donoho & Johnstone's (1994) universal method. Next, we give a computationally efficient algorithm for implementing a crossvalidatory method proposed by Nason (1996). Then, we propose and develop theory in support of a crossvalidatory version of AIC which, like universal thresholding and Nason's method, can be implemented in O(n log n) operations, where n is the sample size. A simulation study reveals that both of the crossvalidatory methods can outperform universal hard thresholding.

Key Words: AIC • BIC • Model selection


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.