Drift estimation with non-Gaussian noise using Malliavin calculus

DOI10.1214/15-EJS1101MaRDI QIDQ902228zbMATH OpenOpenAlexFDO

Authors Christian Krein

Publication date 7 January 2016

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ejs/1452004957

zbMATH Keywords

Malliavin calculusRosenblatt processStein estimatordrift estimationCramer-Rao bound

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and prediction (62M20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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• Estimation with quadratic loss.
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• Integration questions related to fractional Brownian motion
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• Normal approximations with Malliavin calculus. From Stein's method to universality
• Regularization of differential equations by fractional noise.
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• Simultaneous estimation of location parameters under quadratic loss
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• Stein estimation of Poisson process intensities
• Stein estimation: The spherically symmetric case
• Stochastic analysis of the fractional Brownian motion
• The Malliavin Calculus and Related Topics
• Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem

Cited in

(3)

• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• The Malliavin gradient method for the calibration of stochastic dynamical models
• Estimation of the drift of Riemann-Liouville fractional Brownian motion

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