Model selection using wavelet decomposition and applications

被引：23

作者：

Antoniadis, A

Gijbels, I

Gregoire, G

机构：

[1] Univ Grenoble 1, Inst Informat & Math Appl Grenoble, Lab Modelisat & Calcul, F-38042 Grenoble, France

[2] Catholic Univ Louvain, Inst Stat, B-1348 Louvain, Belgium

来源：

BIOMETRIKA | 1997年 / 84卷 / 04期

关键词：

consistency; hypothesis testing; minimum description length criterion; model selection; nonparametric regression; wavelet decomposition;

D O I：

10.1093/biomet/84.4.751

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

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.

引用

页码：751 / 763

页数：13

共 41 条

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