Drift estimation with non-Gaussian noise using Malliavin calculus

DOI10.1214/15-EJS1101zbMATH Open1335.60124OpenAlexW2232003246MaRDI QIDQ902228FDOQ902228

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

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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)

Cites Work

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• Estimation of the drift of fractional Brownian motion
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• Simultaneous estimation of location parameters under quadratic loss
• Generalizations of James-Stein estimators under spherical symmetry
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• Shrinkage estimators, Skorokhod's problem and stochastic integration by parts

Cited In (3)

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

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