Estimation of the drift of a Gaussian process under balanced loss function

DOI10.1080/03610926.2021.1890779MaRDI QIDQ5046809zbMATH OpenOpenAlexFDO

Authors Jabrane Moustaaid, Idir Ouassou

Publication date 9 November 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2021.1890779

zbMATH Keywords

Malliavin calculusfractional Brownian motionJames-Stein estimatordrift estimationbalanced lossBaranchik type estimators

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• scientific article; zbMATH DE number 3965163 (Why is no real title available?)
• Estimating the mean function of a Gaussian process and the Stein effect
• Estimation of the drift of fractional Brownian motion
• Estimation with quadratic loss.
• Estimators for the Drift of Subfractional Brownian Motion
• Shrinkage estimation
• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• Stein type estimation of the regression operator for functional data
• Stochastic calculus with respect to Gaussian processes
• The Malliavin Calculus and Related Topics

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