Wavelet shrinkage provides a simple tool for nonparametric function estimation. It is an active research area where the methodology is based on optimal shrinkage estimators for the location parameters. Some references are Donoho and Johnstone (1994), Donoho et al. (1995), Vidakovic (1999), Antoniadis et al. (2001), Pinheiro and Vidakovic (1997). In this chapter we focus on the simplest, yet most important shrinkage strategy—wavelet thresholding.
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