Donoho, David L.; Johnstone, Iain M. Ideal spatial adaptation by wavelet shrinkage. (English) Zbl 0815.62019 Biometrika 81, No. 3, 425-455 (1994). Summary: With ideal spatial adaptation, an oracle furnishes information about how best to adapt a spatially variable estimator, whether piecewise constant, piecewise polynomial, variable knot spline, or variable bandwidth kernel, to the unknown function. Estimation with the aid of an oracle offers dramatic advantages over traditional linear estimation by nonadaptive kernels; however, it is a priori unclear whether such performance can be obtained by a procedure relying on the data alone. We describe a new principle for spatially-adaptive estimation: selective wavelet reconstruction. We show that variable-knot spline fits and piecewise-polynomial fits, when equipped with an oracle to select the knots, are not dramatically more powerful than selective wavelet reconstruction with an oracle. We develop a practical spatially adaptive method, RiskShrink, which works by shrinkage of empirical wavelet coefficients. RiskShrink mimics the performance of an oracle for selective wavelet reconstruction as well as it is possible to do so. A new inequality in multivariate normal decision theory which we call the oracle inequality shows that attained performance differs from ideal performance by at most a factor of approximately \(2\log n\), where \(n\) is the sample size. Moreover no estimator can give a better guarantee than this. Within the class of spatially adaptive procedures, RiskShrink is essentially optimal. Relying only on the data, it comes within a factor \(\log^ 2 n\) of the performance of piecewise polynomial and variable-knot spline methods equipped with an oracle. In contrast, it is unknown how or if piecewise polynomial methods could be made to function this well when denied access to an oracle and forced to rely on data alone. Cited in 20 ReviewsCited in 924 Documents MSC: 62G07 Density estimation 62C99 Statistical decision theory Keywords:minimax estimation subject to doing well at a point; orthogonal wavelet bases of compact support; spatially-adaptive estimation; selective wavelet reconstruction; variable-knot spline fits; piecewise-polynomial fits; RiskShrink; shrinkage of empirical wavelet coefficients; oracle inequality × Cite Format Result Cite Review PDF Full Text: DOI