Article contents
SURE shrinkage of Gaussian paths and signal identification*
Published online by Cambridge University Press: 05 January 2012
Abstract
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.
- Type
- Research Article
- Information
- ESAIM: Probability and Statistics , Volume 15: Supplement: In honor of Marc Yor , 2011 , pp. 180 - 196
- Copyright
- © EDP Sciences, SMAI, 2011
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