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60-XX Probability theory and stochastic processes
60Hxx Stochastic analysis
60H07 Stochastic calculus of variations and the Malliavin calculus

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Displaying 21 – 23 of 23

Sur le théorème de l'indice des familles

Rémi Léandre (1988)

Séminaire de probabilités de Strasbourg

SURE shrinkage of gaussian paths and signal identification

Nicolas Privault, Anthony Réveillac (2011)

ESAIM: Probability and Statistics

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.

SURE shrinkage of Gaussian paths and signal identification*

Nicolas Privault, Anthony Réveillac (2012)

ESAIM: Probability and Statistics

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.

Currently displaying 21 – 23 of 23

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