Bayesian nonparametric regression using complex wavelets

Abstract: In this paper we propose a new adaptive wavelet denoising methodology using complex wavelets. The method is based on a fully Bayesian hierarchical model in the complex wavelet domain that uses a bivariate mixture prior on the wavelet coefficients. The heart of the procedure is computational, where the posterior mean is computed through Markov chain Monte Carlo (MCMC) simulations. We show that the method has good performance, as demonstrated by simulations on the well-known test functions and by comparison to a well-established complex wavelet-based denoising procedure. An application to real-life data set is also considered.