Stein estimation for the drift of Gaussian processes using the Malliavin calculus

DOI10.1214/07-AOS540zbMATH Open1274.62256arXiv0811.1153MaRDI QIDQ955152FDOQ955152

Anthony Réveillac, Nicolas Privault

Publication date: 18 November 2008

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We consider the nonparametric functional estimation of the drift of a Gaussian process via minimax and Bayes estimators. In this context, we construct superefficient estimators of Stein type for such drifts using the Malliavin integration by parts formula and superharmonic functionals on Gaussian space. Our results are illustrated by numerical simulations and extend the construction of James--Stein type estimators for Gaussian processes by Berger and Wolpert [J. Multivariate Anal. 13 (1983) 401--424].

Full work available at URL: https://arxiv.org/abs/0811.1153

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zbMATH Keywords

Malliavin calculusharmonic analysisStein estimationGaussian spacenonparametric drift estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Stochastic calculus of variations and the Malliavin calculus (60H07) Harmonic, subharmonic, superharmonic functions in higher dimensions (31B05)

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Cited In (19)

• Estimating intensity functions of spatial inhomogeneous Poisson point processes via a Stein estimator
• Stein's method on Wiener chaos
• Stein's method for invariant measures of diffusions via Malliavin calculus
• Estimation of the drift of Riemann-Liouville fractional Brownian motion
• Estimators for the Drift of Subfractional Brownian Motion
• Approximation to stochastic variance reduced gradient Langevin dynamics by stochastic delay differential equations
• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• Maximum likelihood estimation for Gaussian process with nonlinear drift
• Stein estimation of the intensity of a spatial homogeneous Poisson point process
• Functional Cramér-Rao bounds and Stein estimators in Sobolev spaces, for Brownian motion and Cox processes
• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• Statistical Inference and Malliavin Calculus
• A Note on the Comparison of the Stein Estimator and the James-Stein Estimator
• Fourier transform methods for pathwise covariance estimation in the presence of jumps
• Drift estimation with non-Gaussian noise using Malliavin calculus
• Estimation of the drift of a Gaussian process under balanced loss function
• Remarks on parameter estimation for the drift of fractional Brownian sheet
• Estimation of the drift of fractional Brownian motion
• Efficient and superefficient estimators of filtered Poisson process intensities

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