Wavelet Thresholding in Anisotropic Function Classes and Application to Adaptive Estimation of Evolutionary Spectra

  • We derive minimax rates for estimation in anisotropic smoothness classes. This rate is attained by a coordinatewise thresholded wavelet estimator based on a tensor product basis with separate scale parameter for every dimension. It is shown that this basis is superior to its one-scale multiresolution analog, if different degrees of smoothness in different directions are present.; As an important application we introduce a new adaptive wavelet estimator of the time-dependent spectrum of a locally stationary time series. Using this model which was resently developed by Dahlhaus, we show that the resulting estimator attains nearly the rate, which is optimal in Gaussian white noise, simultaneously over a wide range of smoothness classes. Moreover, by our new approach we overcome the difficulty of how to choose the right amount of smoothing, i.e. how to adapt to the appropriate resolution, for reconstructing the local structure of the evolutionary spectrum in the time-frequency plane.

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Metadaten
Verfasserangaben:Michael H. Neumann, Rainer von Sachs
URN (Permalink):urn:nbn:de:hbz:386-kluedo-5327
Schriftenreihe (Bandnummer):Berichte der Arbeitsgruppe Technomathematik (AGTM Report) (132)
Dokumentart:Wissenschaftlicher Artikel
Sprache der Veröffentlichung:Englisch
Jahr der Fertigstellung:1997
Jahr der Veröffentlichung:1997
Veröffentlichende Institution:Technische Universität Kaiserslautern
Datum der Publikation (Server):03.04.2000
Freies Schlagwort / Tag:Anisotropic smoothness classes ; adaptive estimation ; optimal rate of convergence ; tensor product basis ; time-frequency plan; wavelet thresholding
Quelle:Annals of Statistics, 25, 38-76 (1997)
Fachbereiche / Organisatorische Einheiten:Fachbereich Mathematik
DDC-Sachgruppen:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
MSC-Klassifikation (Mathematik):62-XX STATISTICS / 62Exx Distribution theory [See also 60Exx] / 62E20 Asymptotic distribution theory
62-XX STATISTICS / 62Gxx Nonparametric inference / 62G07 Density estimation
62-XX STATISTICS / 62Mxx Inference from stochastic processes / 62M10 Time series, auto-correlation, regression, etc. [See also 91B84]
62-XX STATISTICS / 62Mxx Inference from stochastic processes / 62M15 Spectral analysis
Lizenz (Deutsch):Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011

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