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Superefficient drift estimation on the Wiener space
Authors:Nicolas Privault  Anthony Réveillac
Affiliation:1. Département de mathématiques, université de Poitiers, 86962 Futuroscope cedex, France;2. Laboratoire de mathématiques, université de La Rochelle, 17042 La Rochelle, France
Abstract:In the framework of a nonparametric functional estimation for the drift of a Brownian motion Xt we construct Stein type estimators of the form Xt+DtlogF which are superefficient when F is a superharmonic functional on the Wiener space for the Malliavin derivative D. To cite this article: N. Privault, A. Réveillac, C. R. Acad. Sci. Paris, Ser. I 343 (2006).
Keywords:
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