Title: Model selection using wavelet decomposition and applications
Authors: Antoniadis, A ×
Gijbels, Irène
Gregoire, G #
Issue Date: 1997
Publisher: Biometrika trust
Series Title: Biometrika vol:84 issue:4 pages:751-763
Abstract: In this paper we discuss how to use wavelet decompositions to select a regression model. The methodology relies on a minimum description length criterion which is used to determine the number of nonzero coefficients in the vector of wavelet coefficients. Consistency properties of the selection rule are established and simulation studies reveal information on the distribution of the minimum description length selector. We then apply the selection rule to specific problems, including testing for pure white noise. The power of this test is investigated via simulation studies and the selection criterion is also applied to testing for no effect in nonparametric regression.
ISSN: 0006-3444
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Non-KU Leuven Association publications
× corresponding author
# (joint) last author

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