EbayesThresh: R and S-PLUS software for Empirical Bayes thresholding.

by Iain M. Johnstone and Bernard W. Silverman, August 2002, last revised 29 March 2005.

This software complements the papers "Needles and straw in haystacks: Empirical Bayes approaches to thresholding a possibly sparse sequence", "Empirical Bayes selection of wavelet thresholds", and "EbayesThresh: R software for Empirical Bayes thresholding", by Iain M. Johnstone and Bernard W. Silverman.     All the papers are available here. The last of these papers gives a  general description of the software and some details both of the general methodology and of some specific technical matters.

The R package (current version 1.3.0) and documentation is available as the contributed package EbayesThresh from the Comprehensive R Archive Network (CRAN).  It can also be downloaded directly from within R.  

The master routine in the software for processing single sequences of data is the function ebayesthresh.   The routine ebayesthresh.wavelet applies the approach to wavelet transforms obtained within the S+WAVELETS or R waveslim or wavethresh modules. If wavelet transforms are obtained using other software, the routine will not be applicable directly, but should still provide a model for the user to write their own wavelet smoothing routine making use of the function ebayesthresh.

The software may be downloaded and used freely for academic purposes, provided its use is acknowledged. Commercial use is not allowed without the permission of the author. Please bring any problems or errors to the author's attention.

Anestis Antoniadis and Maarten Jansen have provided a MATLAB version of the package, available here.