threshold function using the op2 policy.Corresponds to the wavelet thresholding routine developed by Ogden and Parzen (1994) Data dependent wavelet thresholding in nonparametric regression with change-point applications. Tech Rep 176, University of South Carolina, Department of Statistics.
TOthreshda2(ywd, alpha = 0.05, verbose = FALSE, return.threshold = FALSE)wd.object that you wish to threshold.return.threshold==TRUE otherwise
returns the shrunk set of wavelet coefficients.TOthreshda1 except that it takes the cumulative sum
of squared coefficients, creating a sample "Brownian bridge" process,
and then using the standard Kolmogorov-Smirnov statistic in testing. In this situation, the level of the hypothesis tests, alpha, has default value 0.05. Note that the choice of alpha controls the smoothness of the resulting wavelet estimator -- in general, a relatively large alpha makes it easier to include coefficients, resulting in a more wiggly estimate; a smaller alpha will make it more difficult to include coefficients, yielding smoother estimates.
threshold,TOthreshda1, wd