Summary Using computer simulations, the finite sample performance of a number of classical and Bayesian wavelet shrinkage estimators for Poisson counts is examined. For the purpose of comparison, a variety of intensity functions, background intensity levels, sample sizes, primary resolution levels, wavelet filters and performance criteria are employed. A demonstration is given of the use of some of the estimators to analyse a data set arising in high‐energy astrophysics. Following the philosophy of reproducible research, the M atlab programs and real‐life data example used in this study are made freely available.
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Besbeas et al. (2004) studied this question.