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Multiscale Likelihood Analysis and Complexity Penalized Estimation

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Title: Multiscale Likelihood Analysis and Complexity Penalized Estimation
Author: Kolaczyk, Eric D.; Nowak, Robert David
Type: Journal Paper
Keywords: Factorization; Haar bases; Hellinger distance; Kullback-Leibler divergence; minimax; model selection; multiresolution; recursive partitioning
Citation: E. D. Kolaczyk and R. D. Nowak, "Multiscale Likelihood Analysis and Complexity Penalized Estimation," Annals of Statistics, 2001.
Abstract: We describe here a framework for a certain class of multiscale likelihood factorization wherein, in analogy to a wavlet decomposition of an L² function, a given likelihood function has an alternative representation as a product of conditional densities reflecting information in both the data and the parameter vector localized in position and scale. The framework is developed as a set of sufficient conditions for the existence of such factorizations, formulated in analogy to those underlying a standard multiresolution analysis for wavelets, and hence can be viewed as a multiresolution analysis for likelihoods. We then consider the use of the factorizations in the task of nonparametric, complexity penalized likelihood estimation. We study the risk properties of certain thresholding and partitioning estimators, and demonstrate their adaptivity and near-optimality, in a minimax sense over a broad range of function spaces, based on squared Hellinger distance as a loss function. In particular, our results provide an illustration of how properties of classical wavelet-based estimators can be obtained in a single, unified framework that includes models for continuous, count, and categorical data types.
Date Published: 2001-08-20

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  • ECE Publications [1082 items]
    Publications by Rice University Electrical and Computer Engineering faculty and graduate students
  • DSP Publications [508 items]
    Publications by Rice Faculty and graduate students in digital signal processing.