Ridge Autoregression Estimation: LS Method

DOI10.1080/03610926.2013.857866zbMath1332.62344OpenAlexW1517568521MaRDI QIDQ2794798

Amal F. Ghania, A. K. Md. Ehsanes Saleh

Publication date: 11 March 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.857866

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Preliminary test and Stein estimations in simultaneous linear equations
• Time series: theory and methods
• Weighted empirical processes in dynamic nonlinear models.
• A note on classical Stein-type estimators in elliptically contoured models
• \(R\)-estimation of the parameters of autoregressive [AR(\(p\)) models]
• On some ridge regression estimators: a nonparametric approach
• Performance of some new preliminary test ridge regression estimators and their properties
• Theory of Preliminary Test and Stein‐Type Estimation With Applications

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