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SURE shrinkage of Gaussian paths and signal identification*
Published online by Cambridge University Press: 05 January 2012
Abstract
Using integration by parts on Gaussian spacewe construct a Stein Unbiased Risk Estimator (SURE)for the drift of Gaussian processes, based on theirlocal and occupation times.By almost-sure minimization of the SURE risk ofshrinkage estimators we derive an estimation and de-noisingprocedure for an input signal perturbed by acontinuous-time Gaussian noise.
- Type
- Research Article
- Information
- ESAIM: Probability and Statistics , Volume 15: Supplement: In honor of Marc Yor , 2011 , pp. 180 - 196
- Copyright
- © EDP Sciences, SMAI, 2011
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