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math.ST2008★ 21 cited
Stein estimation for the drift of Gaussian processes using the Malliavin calculus
Nicolas Privault, Anthony Réveillac
We consider the nonparametric functional estimation of the drift of a Gaussian process via minimax and Bayes estimators. In this context, we construct superefficient estimators of…
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…