About: SURE shrinkage of Gaussian paths and signal identification

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Attributs	Valeurs
type	work Article
Is Part Of	Supplement: In honor of Marc Yor
Subject	Signal detection and filtering Stochastic calculus of variations and the Malliavin calculus Estimation and detection Data smoothing Malliavin calculus SURE shrinkage thresholding denoising Estimation Gaussian processes
Title	SURE shrinkage of Gaussian paths and signal identification
Date	2011-01-01(xsd:dateTime)
has manifestation of work	http://hub.abes.fr/edp/periodical/ps/2011/volume_15/issue_2011/ps0906/m/print http://hub.abes.fr/edp/periodical/ps/2011/volume_15/issue_2011/ps0906/m/web
related by	http://hub.abes.fr/edp/periodical/ps/2011/volume_15/issue_2011/ps0906/authorship/2 http://hub.abes.fr/edp/periodical/ps/2011/volume_15/issue_2011/ps0906/authorship/1
Author	Privault, Nicolas Réveillac, Anthony
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.
article type	research-article
publisher identifier	ps0906
Date Copyrighted	2011-01-01(xsd:dateTime)
Rights	© EDP Sciences, SMAI, 2011
Rights Holder	EDP Sciences, SMAI
is part of this journal	ESAIM: Probability and Statistics
is primary topic of	http://hub.abes.fr/edp/periodical/ps/2011/volume_15/issue_2011/ps0906/w/record

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