sureshrink | R Documentation |
SureShrink estimator of a high dimensional sparse parameter from Donoho and Johnstone (1995)
sureshrink(d, v.d)
d |
an n vector of observations |
v.d |
an n vector of variances for each component of d |
Estimates a threshold t by minimizing the SURE function and then soft thresholds d using t.
est - an n vector holding the estimates
t - estimated threshold
David L Donoho and Iain M Johnstone. Adapting to unknown smoothness via wavelet shrinkage. Journal of the american statistical association, 90(432):1200-1224, 1995
sureshrink.mse
library(asus)
set.seed(42)
d<-rnorm(10,2,1)
v.d<- rep(1,10)
theta.hat<-sureshrink(d,v.d)
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