Cross-validated wavelet shrinkage

Cross-validation has been successfully used in various areas of statistics. However, it has not been used much in wavelet shrinkage estimation because fast wavelet methods cannot be applied to deleted data. In this paper, we show this problem can be avoided by using a fast imputation of data. This allows level-dependent cross- validation which is attractive to data with different sparseness. The proposed methods can be easily extended to higher dimensional problem such as image. Results from simulation and examples demonstrate the promising empirical properties of the procedure. In particular, the methods proposed in this work provide outstanding results for non-Gaussian noises because cross-validation is not based on normality assumptions.