Abstract
We consider the problem of estimating an unknown function f in a regression setting with random design. Instead of expanding the function on a regular wavelet basis, we expand it on the basis warped with the design. This allows us to employ a very stable and computable thresholding algorithm. We investigate the properties of this new basis. In particular, we prove that if the design has a property of Muckenhoupt type, this new basis behaves quite similarly to a regular wavelet basis. This enables us to prove that the associated thresholding procedure achieves rates of convergence which have been proved to be minimax in the uniform design case.
Citation
Gérard Kerkyacharian. Dominique Picard. "Regression in random design and warped wavelets." Bernoulli 10 (6) 1053 - 1105, December 2004. https://doi.org/10.3150/bj/1106314850
Information