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'Analytic' wavelet thresholding

Olhede, SC; Walden, AT; (2004) 'Analytic' wavelet thresholding. BIOMETRIKA , 91 (4) 955 - 973.

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We introduce so-called analytic stationary wavelet transform thresholding where, using the discrete Hilbert transform, we create a complex-valued 'analytic' vector from which an amplitude vector is defined. Thresholding of a real-valued wavelet coefficient at some transform level is carried out according to the corresponding value in this amplitude vector; relevant statistical results follow from properties of the discrete Hilbert transform. Analytic stationary wavelet transform thresholding is found to produce consistently a reduced mean squared error compared to using standard stationary wavelet transform, or 'cycle spinning', thresholding. For signals with extensive oscillations at some transform levels, this improvement is very marked. Furthermore we show that our thresholding test is invariant to phase shifts in the data, whereas, if complex wavelet filters are being used, the filters must be analytic or anti-analytic at each level of the wavelet transform.

Title:'Analytic' wavelet thresholding
Keywords:cycle spinning, denoising, Hilbert transform, phase, thresholding, wavelet transform
UCL classification:UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Statistical Science

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