Stein estimation for the drift of Gaussian processes using the Malliavin calculus

Reveillac, Anthony, Privault, Nicolas, Réveillac, Anthony . The Annals of Statistics 2008. 36 (5) :2531-2550

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Bibtex

@article{CIS-261118,
  Author = {Reveillac, Anthony and Privault, Nicolas and Réveillac, Anthony},
  Title = {Stein estimation for the drift of Gaussian processes using the Malliavin calculus},
  Journal = {The Annals of Statistics},
  Volume = {36},
  Number = {5},
  Year = {2008},
  Pages = {2531--2550},
  Keywords = {Hypothesis testing, Likelihood ratio test, Power, Algorithm, Wald test, Size, Lagrange multiplier test, High-dimensional data, Harmonic analysis, Gaussian space, Stein estimation, Nonparametric drift estimation}
}

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