Stein estimation for the drift of Gaussian processes using the Malliavin calculus
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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].
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Cites work
- scientific article; zbMATH DE number 3965163 (Why is no real title available?)
- scientific article; zbMATH DE number 3576395 (Why is no real title available?)
- scientific article; zbMATH DE number 3608897 (Why is no real title available?)
- scientific article; zbMATH DE number 1432782 (Why is no real title available?)
- Estimating the mean function of a Gaussian process and the Stein effect
- Estimation of the mean of a multivariate normal distribution
- Estimation with quadratic loss.
- On the construction of Bayes minimax estimators
- Stein estimation for the drift of Gaussian processes using the Malliavin calculus
- Stochastic calculus with respect to Gaussian processes
- The Malliavin Calculus and Related Topics
Cited in
(21)- 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
- A note on the comparison of the Stein estimator and the James-Stein estimator
- SURE shrinkage of Gaussian paths and signal identification
- Estimation of the drift of Riemann-Liouville fractional Brownian motion
- Estimators for the Drift of Subfractional Brownian Motion
- Statistical inference and Malliavin calculus
- 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
- Stein estimation of the intensity of a spatial homogeneous Poisson point process
- Maximum likelihood estimation for Gaussian process with nonlinear drift
- Superefficient drift estimation on the Wiener space
- 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
- 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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