Generalized fiducial inference for wavelet regression
Jan Hannig, Thomas C. M. Lee · Biometrika · 2009
We apply Fisher’s fiducial idea to wavelet regression, first developing a general methodology for handling model selection problems within the fiducial framework. We propose fiducial-based methods for wavelet curve estimation and the construction of pointwise confidence intervals. We show that these confidence intervals have asymptotically correct coverage. Simulations demonstrate that they possess promising empirical properties.