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Article Dans Une Revue ESAIM: Probability and Statistics Année : 2012

Sure shrinkage of Gaussian paths and signal identification

Résumé

Using integration by parts on Gaussian space we construct a Stein Unbiased Risk Estimator (SURE) for the drift of Gaussian processes, based on their local and occupation times. By almost-sure minimization of the SURE risk of shrinkage estimators we derive an estimation and de-noising procedure for an input signal perturbed by a continuous-time Gaussian noise.

Dates et versions

hal-00918366 , version 1 (13-12-2013)

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Nicolas Privault, Anthony Réveillac. Sure shrinkage of Gaussian paths and signal identification. ESAIM: Probability and Statistics, 2012, 15, pp.180-196. ⟨10.1051/ps/2009013⟩. ⟨hal-00918366⟩
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