SURE shrinkage of Gaussian paths and signal identification

Details SURE shrinkage of Gaussian paths and signal identification SURE shrinkage of Gaussian paths and signal identification

2008-09-09

arxiv.org/abs/0809.1516v2

Mathematics

Statistics Theory

Scientific paper

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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