Stochastic analysis on Gaussian space applied to drift estimation
From MaRDI portal
Publication:6209500
arXiv0805.2002MaRDI QIDQ6209500FDOQ6209500
Authors: Nicolas Privault, Anthony Réveillac 
Publication date: 14 May 2008
Abstract: In this paper we consider the nonparametric functional estimation of the drift of Gaussian processes using Paley-Wiener and Karhunen-Lo`eve expansions. We construct efficient estimators for the drift of such processes, and prove their minimaxity using Bayes estimators. We also construct superefficient estimators of Stein type for such drifts using the Malliavin integration by parts formula and stochastic analysis on Gaussian space, in which superharmonic functionals of the process paths play a particular role. Our results are illustrated by numerical simulations and extend the construction of James-Stein type estimators for Gaussian processes by Berger and Wolper.
Nonparametric estimation (62G05) Stochastic calculus of variations and the Malliavin calculus (60H07) Harmonic, subharmonic, superharmonic functions in higher dimensions (31B05)
This page was built for publication: Stochastic analysis on Gaussian space applied to drift estimation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6209500)
