Perfect simulation for Bayesian wavelet thresholding with correlated coefficients

Details Perfect simulation for Bayesian wavelet thresholding with correlated coefficients Perfect simulation for Bayesian wavelet thresholding with correlated coefficients

2009-03-15

arxiv.org/abs/0903.2654v1

Statistics

Methodology

16 pages, originally Tech Report, University of Bristol, 2004

Scientific paper

We introduce a new method of Bayesian wavelet shrinkage for reconstructing a signal when we observe a noisy version. Rather than making the common assumption that the wavelet coefficients of the signal are independent, we allow for the possibility that they are locally correlated in both location (time) and scale (frequency). This leads us to a prior structure which is analytically intractable, but it is possible to draw independent samples from a close approximation to the posterior distribution by an approach based on Coupling From The Past.

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