wavelets

Wavelets are a method for nonparametric regression. The resulting estimators $\hat{m}(x)$ of $m(x)=\mathbb{E}[Y|X=x]$ are one of the few examples of estimators that are not linear smoothers.

Roughly speaking, they can be generated by solving quadratic optimization problems with ${\ell }_0$ or ${\ell }_1$ norm regularization (instead of higher norms which are differentiable and thus give nice closed form solutions which are linear).