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.
@article{arxiv.0809.1516,
title = {SURE shrinkage of Gaussian paths and signal identification},
author = {Nicolas Privault and Anthony Réveillac},
journal= {arXiv preprint arXiv:0809.1516},
year = {2009}
}