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Stochastic analysis on Gaussian space ap...
Privault, Nicolas...
Stochastic analysis on Gaussian space applied to drift estimation by Privault, Nicolas ( Author )
Australian National University
01-08-2023
In this paper we consider the nonparametric functional estimation of the drift of Gaussian processes using Paley-Wiener and Karhunen-Lo\`eve expansions. We construct efficient estimators for the drift of such processes, and prove their minimaxity using Bayes estimators. We also construct superefficient estimators of Stein type for such drifts using the Malliavin integration by parts formula and stochastic analysis on Gaussian space, in which superharmonic functionals of the process paths play a particular role. Our results are illustrated by numerical simulations and extend the construction of James-Stein type estimators for Gaussian processes by Berger and Wolper.
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Article
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29.34 KB
English
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MYR 0.01
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http://arxiv.org/abs/0805.2002
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