On pointwise optimality of Bayes factor wavelet regression estimators
SourceSankhya: The Indian Journal of Statistics
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We investigate the theoretical performance of Bayes factor estimators at a single point in wavelet regression models with independent and identically distributed errors that are not necessarily normally distributed. We compare these estimators in terms of their frequentist pointwise optimality in Besov spaces for certain combinations of error and prior distributions. © 2006, Indian Statistical Institute.