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Bayesian wavelet shrinkage with beta priors

Author

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  • Alex Rodrigo dos S. Sousa

    (University of São Paulo)

  • Nancy L. Garcia

    (University of Campinas)

  • Brani Vidakovic

    (Texas A&M University)

Abstract

In wavelet shrinkage and thresholding, most of the standard techniques do not consider information that wavelet coefficients might be bounded, although information about bounded energy in signals can be readily available. To address this, we present a Bayesian approach for shrinkage of bounded wavelet coefficients in the context of non-parametric regression. We propose the use of a zero-contaminated beta distribution with a support symmetric around zero as the prior distribution for the location parameter in the wavelet domain in models with additive gaussian errors. The hyperparameters of the proposed model are closely related to the shrinkage level, which facilitates their elicitation and interpretation. For signals with a low signal-to-noise ratio, the associated Bayesian shrinkage rules provide significant improvement in performance in simulation studies when compared with standard techniques. Statistical properties such as bias, variance, classical and Bayesian risks of the associated shrinkage rules are presented and their performance is assessed in simulations studies involving standard test functions. Application to real neurological data set on spike sorting is also presented.

Suggested Citation

  • Alex Rodrigo dos S. Sousa & Nancy L. Garcia & Brani Vidakovic, 2021. "Bayesian wavelet shrinkage with beta priors," Computational Statistics, Springer, vol. 36(2), pages 1341-1363, June.
  • Handle: RePEc:spr:compst:v:36:y:2021:i:2:d:10.1007_s00180-020-01048-1
    DOI: 10.1007/s00180-020-01048-1
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    References listed on IDEAS

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    1. Abramovich, Felix & Benjamini, Yoav, 1996. "Adaptive thresholding of wavelet coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 22(4), pages 351-361, August.
    2. Anirban Bhattacharya & Debdeep Pati & Natesh S. Pillai & David B. Dunson, 2015. "Dirichlet--Laplace Priors for Optimal Shrinkage," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(512), pages 1479-1490, December.
    3. F. Abramovich & T. Sapatinas & B. W. Silverman, 1998. "Wavelet thresholding via a Bayesian approach," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(4), pages 725-749.
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