%0 Journal Article
%T SURE shrinkage of Gaussian paths and signal identification
%A Nicolas Privault
%A Anthony R¨¦veillac
%J Mathematics
%D 2008
%I arXiv
%X 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.
%U http://arxiv.org/abs/0809.1516v2