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

DOI10.1016/j.jmva.2016.10.011zbMath1352.62116arXiv1507.01494OpenAlexW2963960579WikidataQ62043479 ScholiaQ62043479MaRDI QIDQ730432

Eni Musta, Dario Trevisan, Maurizio 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

Malliavin calculusCox modelCramér-Rao boundStein phenomenon

Mathematics Subject Classification ID

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

Related Items (1)

Efficient and superefficient estimators of filtered Poisson process intensities

Cites Work

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• Stein estimation of the intensity of a spatial homogeneous Poisson point process
• Remarks on parameter estimation for the drift of fractional Brownian sheet
• Hitchhiker's guide to the fractional Sobolev spaces
• Stein estimation of Poisson process intensities
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• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• Estimation of the mean of a multivariate normal distribution
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• Normal Approximations with Malliavin Calculus
• Statistical Inference and Malliavin Calculus
• The Malliavin Calculus and Related Topics
• SURE shrinkage of Gaussian paths and signal identification

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