Showing papers by "Iain M. Johnstone published in 1995"

Adapting to Unknown Smoothness via Wavelet Shrinkage

Abstract: We attempt to recover a function of unknown smoothness from noisy sampled data. We introduce a procedure, SureShrink, that suppresses noise by thresholding the empirical wavelet coefficients. The thresholding is adaptive: A threshold level is assigned to each dyadic resolution level by the principle of minimizing the Stein unbiased estimate of risk (Sure) for threshold estimates. The computational effort of the overall procedure is order N · log(N) as a function of the sample size N. SureShrink is smoothness adaptive: If the unknown function contains jumps, then the reconstruction (essentially) does also; if the unknown function has a smooth piece, then the reconstruction is (essentially) as smooth as the mother wavelet will allow. The procedure is in a sense optimally smoothness adaptive: It is near minimax simultaneously over a whole interval of the Besov scale; the size of this interval depends on the choice of mother wavelet. We know from a previous paper by the authors that traditional smoot...

Wavelet Shrinkage: Asymptopia?

Abstract: Much recent effort has sought asymptotically minimax methods for recovering infinite dimensional objects-curves, densities, spectral densities, images-from noisy data A now rich and complex body of work develops nearly or exactly minimax estimators for an array of interesting problems Unfortunately, the results have rarely moved into practice, for a variety of reasons-among them being similarity to known methods, computational intractability and lack of spatial adaptivity We discuss a method for curve estimation based on n noisy data: translate the empirical wavelet coefficients towards the origin by an amount √(2 log n) /√n The proposal differs from those in current use, is computationally practical and is spatially adaptive; it thus avoids several of the previous objections Further, the method is nearly minimax both for a wide variety of loss functions-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 and Sobolev classes, and bounded variation This is a much broader near optimality than anything previously proposed: we draw loose parallels with near optimality in robustness and also with the broad near eigenfunction properties of wavelets themselves 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