CVTresh: R Package for Level-Dependent Cross-Validation Thresholding
The core of the wavelet approach to nonparametric regression is thresholding of wavelet coefficients. This paper reviews a cross-validation method for the selection of the thresholding value in wavelet shrinkage of Oh, Kim, and Lee (2006), and introduces the R package CVThresh implementing details of the calculations for the procedures. This procedure is implemented by coupling a conventional cross-validation with a fast imputation method, so that it overcomes a limitation of data length, a power of 2. It can be easily applied to the classical leave-one-out cross-validation and K-fold cross-validation. Since the procedure is computationally fast, a level-dependent cross-validation can be developed for wavelet shrinkage of data with various sparseness according to levels.
Year of publication: |
2006-04-08
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Authors: | Kim, Donghoh ; Oh, Hee-Seok |
Published in: |
Journal of Statistical Software. - American Statistical Association. - Vol. 15.2006, i10
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Publisher: |
American Statistical Association |
Saved in:
freely available
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