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

DOI10.1214/07-AOS540zbMath1274.62256arXiv0811.1153MaRDI QIDQ955152

Anthony Réveillac, Nicolas Privault

Publication date: 18 November 2008

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

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

zbMATH Keywords

Malliavin calculusharmonic analysisStein estimationGaussian spacenonparametric drift estimation

Mathematics Subject Classification ID

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

Related Items (18)

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

Cites Work

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• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• Estimating the mean function of a Gaussian process and the Stein effect
• Estimation of the mean of a multivariate normal distribution
• On the construction of Bayes minimax estimators
• The Malliavin Calculus and Related Topics
• Stochastic calculus with respect to Gaussian processes

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