SURE shrinkage of Gaussian paths and signal identification

DOI10.1051/PS/2009013MaRDI QIDQ4918487zbMATH OpenOpenAlexFDO

Authors Anthony Réveillac, Nicolas Privault

Publication date 25 April 2013

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0809.1516

zbMATH Keywords

denoisingGaussian processesMalliavin calculusestimationthresholdingoccupation timessignal identificationinput signalcontinuous-time Gaussian noiseshrinkage of Gaussian pathsStein unbiased riskSURE shrinkage

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Signal detection and filtering (aspects of stochastic processes) (60G35) Estimation and detection in stochastic control theory (93E10) Data smoothing in stochastic control theory (93E14)

Abstract: 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 almost-sure minimization of the SURE risk of shrinkage estimators we derive an estimation and de-noising procedure for an input signal perturbed by a continuous-time Gaussian noise.

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Cited in

(1)

• Functional Cramér-Rao bounds and Stein estimators in Sobolev spaces, for Brownian motion and Cox processes

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