Wavelet Estimation of an Unknown Function Observed with Correlated Noise

DOI10.1080/03610910903443972zbMath1183.62067OpenAlexW1849869588MaRDI QIDQ5305508

Xue Wang, Andrew T. A. Wood

Publication date: 22 March 2010

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://kar.kent.ac.uk/37207/1/Wavelet%20estimation%20of%20an%20unknown%20function%20observed%20with%20correlated%20noise.pdf

zbMATH Keywords

correlation structureDurbin-Levinson algorithminnovations algorithmpseudo likelihood estimationBayes block shrinkage

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods for wavelets (65T60) Empirical decision procedures; empirical Bayes procedures (62C12)

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