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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