Estimation of the drift of a Gaussian process under balanced loss function

DOI10.1080/03610926.2021.1890779OpenAlexW3134316287MaRDI QIDQ5046809

Idir Ouassou, Jabrane Moustaaid

Publication date: 9 November 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1890779

zbMATH Keywords

fractional Brownian motionJames-Stein estimatorMalliavin calculusdrift estimationbalanced lossBaranchik type estimators

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Estimation of the drift of fractional Brownian motion
• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• Estimating the mean function of a Gaussian process and the Stein effect
• Shrinkage estimation
• The Malliavin Calculus and Related Topics
• Estimators for the Drift of Subfractional Brownian Motion
• Stochastic calculus with respect to Gaussian processes
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