SURE shrinkage of Gaussian paths and signal identification

Nicolas Privault and Anthony R\'eveillac

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Abstract: Using 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.

Date: 2008-09, Revised 2009-02
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0809.1516

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