Bayesian Inference with Wavelets: Density Estimation

@inproceedings{Vidakovic1995BayesianIW,
  title={Bayesian Inference with Wavelets: Density Estimation},
  author={B. Vidakovic},
  year={1995}
}
We propose a prior probability model in the wavelet coeecient space. The proposed model implements wavelet coeecient thresholding by full posterior inference in a coherent probability model. We introduce a prior probability model with mixture priors for the wavelet coeecients. The prior includes a positive prior probability mass at zero which leads to a posteriori threshold-ing and generally to a posteriori shrinkage on the coeecients. We discuss an eecient posterior simulation scheme to… CONTINUE READING
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