find.parameters           package:cthresh           R Documentation

_F_i_n_d _e_s_t_i_m_a_t_e_s _o_f _p_r_i_o_r _p_a_r_a_m_e_t_e_r_s

_D_e_s_c_r_i_p_t_i_o_n:

     Estimate the prior parameters for the complex empirical Bayes
     shrinkage procedure.

_U_s_a_g_e:

     find.parameters(data.wd, dwwt, j0, code, tol, Sigma)

_A_r_g_u_m_e_n_t_s:

 data.wd: Wavelet decomposition of the data being analysed.

    dwwt: The diagonal elements of the matrix Wt(W). See 'make.dwwt'
          for details.

      j0: Primary resolution level, as discussed in the help for
          threshold.wd

    code: Tells the function whether to use NAG code for the search
          (code="NAG"), R/S-plus for the search with C code to evaluate
          the likelihood (code="C"), or R/S-plus code for all
          calculations (code="R" or code="S"). Setting code="NAG" is
          strongly recommended.

     tol: A tolerance parameter which bounds the mixing weight away
          from zero and one and the correlation between real and
          imaginary parts of the prior away from plus or minus one.

   Sigma: The covariance matrix of the wavelet coefficients of white
          noise.

_D_e_t_a_i_l_s:

     The complex empirical Bayes (CEB) shrinkage procedure described by
     Barber & Nason (2004) places independent mixture priors on each
     complex-valued wavelet coefficient. This routine finds marginal
     maximum likelihood estimates of the prior parameters. If the NAG
     library is available, routine E04JYF is used otherwise the search
     is done using optimize (in R) or nlminb (in S-plus). In the latter
     case, the likelihood values should be computed externally using
     the C code supplied as part of the CThresh package - although a
     pure R / S-plus version is available, it is very slow. This
     function will not usually be called directly by the user, but is
     called from within cthresh.

_V_a_l_u_e:

     A list with the following components:

    pars: Estimates of the prior parameters. Each row of this matrix
          contains the following parameter estimates for one level of
          the transform: mixing weight; variance of the real part of
          the wavelet coefficients; covariance between the real and
          imaginary parts; variance of the imaginary part of the
          wavelet coefficients. Note that for levels below the primary
          resolution, this search is not done and the matrix is full of
          zeros.

   Sigma: The covariance matrix as supplied to the function.

_R_E_L_E_A_S_E:

     Part of the CThresh addon to WaveThresh. Copyright Stuart Barber
     and Guy Nason 2004.

_N_o_t_e:

     There may be warning messages from the NAG routine E04JYF. If the
     indicator variable IFAIL is equal to 5, 6, 7, or 8, then a
     solution has been found but there is doubt over the convergence.
     For IFAIL = 5, it is likely that the correct solution has been
     found, while IFAIL = 8 means that you should have little
     confidence in the parameter estimates. For more details, see the
     NAG software documentation available online at
     http://www.nag.co.uk/numeric/fl/manual19/pdf/E04/e04jyf_fl19.pdf

_S_e_e _A_l_s_o:

     'cthresh'

