SURE shrinkage of gaussian paths and signal identification
ESAIM: Probability and Statistics, Tome 15 (2011), pp. 180-196

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.

DOI : 10.1051/ps/2009013
Classification : 93E10, 93E14, 60G35, 60H07
Keywords: estimation, sure shrinkage, thresholding, denoising, gaussian processes, Malliavin calculus 
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     author = {Privault, Nicolas and R\'eveillac, Anthony},
     title = {SURE shrinkage of gaussian paths and signal identification},
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     pages = {180--196},
     year = {2011},
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     mrnumber = {2870511},
     zbl = {1261.93078},
     language = {en},
     url = {https://www.numdam.org/articles/10.1051/ps/2009013/}
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Privault, Nicolas; Réveillac, Anthony. SURE shrinkage of gaussian paths and signal identification. ESAIM: Probability and Statistics, Tome 15 (2011), pp. 180-196. doi: 10.1051/ps/2009013

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