SURE shrinkage of Gaussian paths and signal identification

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dc.creatorPrivault, Nicolas
dc.creatorRéveillac, Anthony
dc.date2008-09-09
dc.date2009-02-23
dc.date.accessioned2026-07-07T12:44:47Z
dc.date.available2026-07-07T12:44:47Z
dc.descriptionUsing 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.
dc.identifierhttps://arxiv.org/abs/0809.1516
dc.identifierhttp://arxiv.org/abs/0809.1516
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/220889
dc.subjectStatistics Theory
dc.subjectRisk Management
dc.subject93E10, 93E14, 60G35, 60H07 (Primary)
dc.titleSURE shrinkage of Gaussian paths and signal identification
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