3 papers
math.ST2008
SURE shrinkage of Gaussian paths and signal identification
Nicolas Privault, Anthony Réveillac
Using integration by parts on Gaussian space we construct a Stein Unbiased Risk Estimator (SURE) for the drift of Gaussian processes using their local and occupation times. By almo…
math.PR2008
Convergence of finite-dimensional laws of the weighted quadratic variations process for some fractional Brownian sheets
Anthony Reveillac
In this paper we state and prove a central limit theorem for the finite-dimensional laws of the quadratic variations process of certain fractional Brownian sheets. The main tool of…
cs.IT2007
Likelihood ratios and Bayesian inference for Poisson channels
Anthony Reveillac
In recent years, infinite-dimensional methods have been introduced for the Gaussian channels estimation. The aim of this paper is to study the application of similar methods to Poi…