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Biometrika 2004 91(2):497-505; doi:10.1093/biomet/91.2.497
© 2004 by Biometrika Trust
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Miscellanea

Posterior probability intervals in Bayesian wavelet estimation

C.Semadeni1, A.C. Davison1 and D.V. Hinkley2

1 Institute of Mathematics, Swiss Federal Institute of Technology, 1015 Lausanne, Switzerland claudio.semadeni{at}a3.epfl.ch anthony.davison{at}epfl.ch 2 Department of Statistics and Applied Probability, University of California, Santa Barbara, California 93106-3110, U.S.Ahinkley{at}pstat.ucsb.edu

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.

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

Received March 2003. Revised October 2003


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