On pointwise optimality of Bayes factor wavelet regression estimators
Date
2006Source
Sankhya: The Indian Journal of StatisticsVolume
68Issue
4Pages
513-541Google Scholar check
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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.