Drift estimation with non-gaussian noise using Malliavin Calculus
نویسندگان
چکیده
منابع مشابه
Stein Estimation for the Drift of Gaussian Processes Using the Malliavin Calculus
We consider the nonparametric functional estimation of the drift of a Gaussian process via minimax and Bayes estimators. In this context, we construct superefficient estimators of Stein type for such drifts using the Malliavin integration by parts formula and superharmonic functionals on Gaussian space. Our results are illustrated by numerical simulations and extend the construction of James–St...
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2015
ISSN: 1935-7524
DOI: 10.1214/15-ejs1101