CVlinear {rwavelet}

2-Fold Cross Validation for linear estimator

Description

Selection of the number of wavelet coefficients to be maintained by the cross validation method proposed by Nason in the case of threshold selection. This method is adapted here to select among linear estimators.

Usage

CVlinear(Y, L, qmf, D, wc)

Arguments

Y

Noisy observations.

L

Level of coarsest scale.

qmf

Orthonormal quadrature mirror filter.

D

Dimension vector of the models considered.

wc

1-d wavelet coefficients.

Value

CritCV Cross validation criteria.

hat_f_m_2FCV

References

Nason, G. P. (1996). Wavelet shrinkage using cross-validation. Journal of the Royal Statistical Society: Series B, 58(2), 463–479.

Navarro, F. and Saumard, A. (2017). Slope heuristics and V-Fold model selection in heteroscedastic regression using strongly localized bases. ESAIM: Probability and Statistics, 21, 412–451.