The Stein–James estimator for short- and long-memory Gaussian processes

DOI10.1093/BIOMET/92.3.737zbMath1152.62373OpenAlexW2014917829MaRDI QIDQ3597975

Masanobu Taniguchi, Junichi Hirukawa

Publication date: 29 January 2009

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/92.3.737

zbMATH Keywords

mean squared errorlong-memory processspectral density matrixshort-memory processStein-James estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

Related Items (6)

A Note on the Comparison of the Stein Estimator and the James-Stein Estimator ⋮ Generalized Cauchy model of sea level fluctuations with long-range dependence ⋮ James-Stein estimators for time series regression models ⋮ Shrinkage estimation for multivariate time series ⋮ Higher-order asymptotic theory of shrinkage estimation for general statistical models ⋮ Improved estimation for the autocovariances of a Gaussian stationary process

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