On pointwise optimality of Bayes factor wavelet regression estimators

Natalia Bochkina*, Theofanis Sapatinas

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

We investigate the theoretical performance of Bayes factor estimators at a single point in wavelet regression models with independent and identically distributed errors that are not necessarily normally distributed. We compare these estimators in terms of their frequentist pointwise optimality in Besov spaces for certain combinations of error and prior distributions.

Original languageEnglish
Pages (from-to)513-541
Number of pages29
JournalSankhya A
Volume68
Issue number4
Publication statusPublished - 1 Dec 2006

Keywords / Materials (for Non-textual outputs)

  • Bayesian inference
  • Besov spaces
  • Nonparametric regression
  • Optimality
  • Pointwise risk
  • Wavelets

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