Nonparametric empirical Bayes improvement of shrinkage estimators with applications to time series

DOI10.3150/18-BEJ1096zbMath1436.62425OpenAlexW2975122957MaRDI QIDQ2325380

Eitan Greenshtein, Ariel Mantzura, Ya'acov Ritov

Publication date: 25 September 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1569398773

zbMATH Keywords

empirical BayesKalman filtershrinkage estimatorsexchangeable

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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