Before revision: We construct an estimation and de-noising procedure for an input signal perturbed by a continuous-time Gaussian noise, using the local and occupation times of Gaussian processes. The method relies on the almost-sure minimization of a Stein Unbiased Risk Estimator (SURE ) obtained through integration by parts on Gaussian space, and applied to shrinkage estimators which are constructed by soft and hard thresholding .
After revision: We construct an estimation and de-noising procedure for an input signal perturbed by a continuous-time Gaussian noise, using the local and occupation times . By almost-sure minimization of a Stein Unbiased Risk Estimator (SURE ) obtained through integration by parts on Gaussian space, and applied to shrinkage estimators which are constructed by soft and hard thresholding .