SURE shrinkage of Gaussian paths and signal identification

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Using integration by parts on Gaussian space we construct a Stein Unbiased Risk Estimator (SURE) for the drift of Gaussian processes using 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.

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Statistics Theory, Risk Management, 93E10, 93E14, 60G35, 60H07 (Primary)

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http://salesiana.dossiersoluciones.com/handle/123456789/220889

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0809.1516
 http://arxiv.org/abs/0809.1516

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arXiv