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

DOI10.1080/03610926.2021.1890779OpenAlexW3134316287MaRDI QIDQ5046809FDOQ5046809

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

• The Malliavin Calculus and Related Topics
• Title not available (Why is that?)
• Estimation with quadratic loss.
• Stochastic calculus with respect to Gaussian processes
• Estimators for the Drift of Subfractional Brownian Motion
• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• Estimation of the drift of fractional Brownian motion
• Stein type estimation of the regression operator for functional data
• Estimating the mean function of a Gaussian process and the Stein effect
• Title not available (Why is that?)
• Shrinkage estimation

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