Simulating from the posterior density of Bayesian wavelet regression estimates


Stuart Barber.
Several authors have considered Bayesian approaches to wavelet shrinkage and thresholding. Relatively few of the resulting nonparametric curve estimates have associated uncertainty bands. We consider a simulation based approach to computing uncertainty bands based on the BayesThresh rule of Abramovich, Sapatinas & Silverman (1998).

Some key words:
Bayesian wavelet thresholding; nonparametric regression; simulation; uncertainty bands.


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