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Minimax Estimation via Wavelet Shrinkage

David L. Donoho and Iain M. Johnstone
The Annals of Statistics
Vol. 26, No. 3 (Jun., 1998), pp. 879-921
Stable URL: http://www.jstor.org/stable/120061
Page Count: 43
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Minimax Estimation via Wavelet Shrinkage
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Abstract

We attempt to recover an unknown function from noisy, sampled data. Using orthonormal bases of compactly supported wavelets, we develop a nonlinear method which works in the wavelet domain by simple nonlinear shrinkage of the empirical wavelet coefficients. The shrinkage can be tuned to be nearly minimax over any member of a wide range of Triebel- and Besov-type smoothness constraints and asymptotically minimax over Besov bodies with p ≤ q. Linear estimates cannot achieve even the minimax rates over Triebel and Besov classes with p < 2, so the method can significantly outperform every linear method (e.g., kernel, smoothing spline, sieve) in a minimax sense. Variants of our method based on simple threshold nonlinear estimators are nearly minimax. Our method possesses the interpretation of spatial adaptivity; it reconstructs using a kernel which may vary in shape and bandwidth from point to point, depending on the data. Least favorable distributions for certain of the Triebel and Besov scales generate objects with sparse wavelet transforms. Many real objects have similarly sparse transforms, which suggests that these minimax results are relevant for practical problems. Sequels to this paper, which was first drafted in November 1990, discuss practical implementation, spatial adaptation properties, universal near minimaxity and applications to inverse problems.

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