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

DOI10.1016/J.JMVA.2016.10.011zbMATH Open1352.62116arXiv1507.01494OpenAlexW2963960579WikidataQ62043479 ScholiaQ62043479MaRDI QIDQ730432FDOQ730432

Authors: Eni Musta, Dario Trevisan, M. Pratelli 

Publication date: 28 December 2016

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

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).

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

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zbMATH Keywords

Cox modelMalliavin calculusStein phenomenonCramér-Rao bound

Mathematics Subject Classification ID

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

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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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