Minimax regret analysis of orthogonal series regression estimation: selection versus shrinkage
正交级数回归估计的极小极大遗憾分析:选择与收缩
We consider the problem of orthogonal series regression estimation when no prior information is available about the form of the regression curve. In a decision-theoretic framework we study the finite sample properties of two classes of nonlinear estimators, based either on a selection or on a shrinkage approach. The methods used correspond to the hard and soft thresholding techniques in the context of wavelet estimation. The whole analysis is carried out under the…