Higher-order asymptotic theory of shrinkage estimation for general statistical models

DOI10.1016/J.JMVA.2018.03.006zbMath1499.62322OpenAlexW2792271691WikidataQ130093336 ScholiaQ130093336MaRDI QIDQ1749993

Masanobu Taniguchi, Takashi Yamashita, Hiroshi Shiraishi

Publication date: 17 May 2018

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2018.03.006

zbMATH Keywords

maximum likelihood estimationshrinkage estimatorstationary processdependent dataregression modelhigher-order asymptotic theorycurved statistical modelportfolio estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Gaussian processes (60G15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Portfolio theory (91G10)

Cites Work

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