Generalized fiducial inference for wavelet regression

• 成果类型: Article
• 署名作者: Hannig, Jan; Lee, Thomas C. M.
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; Chinese University of Hong Kong
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asp050
• 发表日期: 2009
• 页码: 847860
• 关键词: minimum description length; posterior probability intervals; confidence-intervals; model selection; shrinkage; PRINCIPLE

摘要

We apply Fisher's fiducial idea to wavelet regression, first developing a general methodology for handling model selection problems within the fiducial framework. We propose fiducial-based methods for wavelet curve estimation and the construction of pointwise confidence intervals. We show that these confidence intervals have asymptotically correct coverage. Simulations demonstrate that they possess promising empirical properties.