SURE shrinkage of Gaussian paths and signal identification

Nicolas Privault; Anthony Réveillac

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arXiv · 0809.1516

SURE shrinkage of Gaussian paths and signal identification

Nicolas Privault·Anthony Réveillac

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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.

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Nicolas Privault, Anthony Réveillac. 2009-02-23. SURE shrinkage of Gaussian paths and signal identification. https://arxiv.org/abs/0809.1516

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