A number of fundamental results in modern statistical theory involve thresholding estimators. This survey paper aims at reconstructing the history of how thresholding rules came to be popular in statistics and describing, in a not overly technical way, the domain of their application. Two notions play a fundamental role in our narrative: sparsity and oracle inequalities. Sparsity is a property of the object to estimate, which seems to be characteristic of many modern problems, in statistics as well as applied mathematics and theoretical computer science, to name a few. ‘Oracle inequalities’ are a powerful decision-theoretic tool which has served to understand the optimality of thresholding rules, but which has many other potential applications, some of which we will discuss.

Our story is also the story of the dialogue between statistics and applied harmonic analysis. Starting with the work of Wiener, we will see that certain representations emerge as being optimal for estimation. A leitmotif throughout our exposition is that efficient representations lead to efficient estimation.