Abstract
Bayesian methods provide an effective tool for shrinkage in wavelet models. An important issue in any Bayesian analysis is the elicitation of a prior distribution. Elicitation in the wavelet domain is considered by first describing the structure of a wavelet model, and examining several prior distributions that are used in a variety of recent articles. Although elicitation has not been directly considered in many of these papers, most do attach some practical interpretation to the hyperparameters which enables empirical Bayes estimation. By considering the interpretations, we indicate how elicitation might proceed in Bayesian wavelet problems.
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Chipman, H.A., Wolfson, L.J. (1999). Prior Elicitation in the Wavelet Domain. In: Müller, P., Vidakovic, B. (eds) Bayesian Inference in Wavelet-Based Models. Lecture Notes in Statistics, vol 141. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-0567-8_6
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DOI: https://doi.org/10.1007/978-1-4612-0567-8_6
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