Events

Stein estimators and SURE shrinkage estimation for Gaussian processes using the Malliavin calculus

In this talk we present a construction of Stein type estimators for the drift of Gaussian processes using the Malliavin integration by parts formula. Then we construct an estimation and de-noising procedure for an input signal perturbed by a continuous-time Gaussian noise using the local and occupation times of Gaussian processes. This talk is based on joint works with Nicolas Privault.