# SURE shrinkage of Gaussian paths and signal identification*

Nicolas Privault; Anthony Réveillac

ESAIM: Probability and Statistics (2012)

- Volume: 15, page 180-196
- ISSN: 1292-8100

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topPrivault, Nicolas, and Réveillac, Anthony. "SURE shrinkage of Gaussian paths and signal identification*." ESAIM: Probability and Statistics 15 (2012): 180-196. <http://eudml.org/doc/222468>.

@article{Privault2012,

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.
},

author = {Privault, Nicolas, Réveillac, Anthony},

journal = {ESAIM: Probability and Statistics},

keywords = {Estimation; SURE shrinkage; thresholding; denoising;
Gaussian processes; Malliavin calculus; estimation; Gaussian processes; shrinkage of Gaussian paths; continuous-time Gaussian noise; Stein unbiased risk; input signal; occupation times; signal identification},

language = {eng},

month = {1},

pages = {180-196},

publisher = {EDP Sciences},

title = {SURE shrinkage of Gaussian paths and signal identification*},

url = {http://eudml.org/doc/222468},

volume = {15},

year = {2012},

}

TY - JOUR

AU - Privault, Nicolas

AU - Réveillac, Anthony

TI - SURE shrinkage of Gaussian paths and signal identification*

JO - ESAIM: Probability and Statistics

DA - 2012/1//

PB - EDP Sciences

VL - 15

SP - 180

EP - 196

AB -
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.

LA - eng

KW - Estimation; SURE shrinkage; thresholding; denoising;
Gaussian processes; Malliavin calculus; estimation; Gaussian processes; shrinkage of Gaussian paths; continuous-time Gaussian noise; Stein unbiased risk; input signal; occupation times; signal identification

UR - http://eudml.org/doc/222468

ER -

## References

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