Spiridon Penev

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Usually, methods for thresholding wavelet estimators are implemented term by term, with empirical coecients included or excluded depending on whether their absolute values exceed a level that re¯ects plausible moderate deviations of the noise. We argue that performance may be improved by pooling coecients into groups and thresholding them together. This(More)
We derive representations of higher order dual measures of risk in L p spaces as suprema of integrals of Average Values at Risk with respect to probability measures on (0, 1] (Kusuoka representations). The suprema are taken over convex sets of probability measures. The sets are described by constraints on the dual norms of certain transformations of(More)
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