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

DOI10.1016/J.JMVA.2016.10.011MaRDI QIDQ730432zbMATH OpenOpenAlexWikidataFDO

Authors Eni Musta, Dario Trevisan, M. Pratelli

Publication date 28 December 2016

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.01494

zbMATH Keywords

Cox modelMalliavin calculusStein phenomenonCramér-Rao bound

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Brownian motion (60J65)

Abstract: We investigate the problems of drift estimation for a shifted Brownian motion and intensity estimation for a Cox process on a finite interval $[0,T]$, when the risk is given by the energy functional associated to some fractional Sobolev space $H_0^{1}subset{W}^{alpha,2}subset{L}^2$. In both situations, Cramer-Rao lower bounds are obtained, entailing in particular that no unbiased estimators with finite risk in $H_0^1$ exist. By Malliavin calculus techniques, we also study super-efficient Stein type estimators (in the Gaussian case).

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Cites work

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Cited in

(4)

• Superefficient drift estimation on the Wiener space
• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• Cramèr-Rao bounds for fractional Brownian motions
• Efficient and superefficient estimators of filtered Poisson process intensities

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