Wavelet shrinkage for unequally spaced data

  • Authors:

  • Sylvain Sardy;Donald B. Percival;Andrew G. Bruce;Hong-Ye Gao;Werner Stuetzle

  • Affiliations:

  • Department of Mathematics, Swiss Federal Institute of Technology, DMA-Ecublens, CH-1015 Lausanne, Swtizerland, MathSoft, Inc., 1700 Westlake Avenue North, Seattle, WA 98109-9891, USA, Department o ...;MathSoft, Inc., 1700 Westlake Avenue North, Seattle, WA 98109-9891, USA, Applied Physics Laboratory, Box 355640, University of Washington, Seattle, WA 98195-5640, USA;MathSoft, Inc., 1700 Westlake Avenue North, Seattle, WA 98109-9891, USA;MathSoft, Inc., 1700 Westlake Avenue North, Seattle, WA 98109-9891, USA, TeraLogic, Inc., 707 California Street, Mountain View, CA 94041-2005, USA;Department of Statistics, Box 354322, University of Washington, Seattle, WA 98195-4322, USA

  • Venue:
  • Statistics and Computing
  • Year:
  • 1999

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Abstract

Wavelet shrinkage (WaveShrink) is a relatively new technique for nonparametric function estimation that has been shown to have asymptotic near-optimality properties over a wide class of functions. As originally formulated by Donoho and Johnstone, WaveShrink assumes equally spaced data. Because so many statistical applications (e.g., scatterplot smoothing) naturally involve unequally spaced data, we investigate in this paper how WaveShrink can be adapted to handle such data. Focusing on the Haar wavelet, we propose four approaches that extend the Haar wavelet transform to the unequally spaced case. Each approach is formulated in terms of continuous wavelet basis functions applied to a piecewise constant interpolation of the observed data, and each approach leads to wavelet coefficients that can be computed via a matrix transform of the original data. For each approach, we propose a practical way of adapting WaveShrink. We compare the four approaches in a Monte Carlo study and find them to be quite comparable in performance. The computationally simplest approach (isometric wavelets) has an appealing justification in terms of a weighted mean square error criterion and readily generalizes to wavelets of higher order than the Haar.