Model selection using wavelet decomposition and applications

@inproceedings{Antoniadis1997ModelSU,
  title={Model selection using wavelet decomposition and applications},
  author={Anestis Antoniadis},
  year={1997}
}
In this paper we discuss how to use wavelet decompositions to select a regression model. The methodology relies on a minimum description length criterion which is used to determine the number of nonzero coefficients in the vector of wavelet coefficients. Consistency properties of the selection rule are established and simulation studies reveal information on the distribution of the minimum description length selector. We then apply the selection rule to specific problems, including testing for… CONTINUE READING
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