Preliminary test and estimation in some multifactor diffusion processes

DOI10.1007/s13171-013-0026-zzbMath1273.62198OpenAlexW2129016899MaRDI QIDQ369390

Sévérien Nkurunziza

Publication date: 24 September 2013

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-013-0026-z

zbMATH Keywords

MLEasymptotic distributional riskpretest estimatorStein-rule

Mathematics Subject Classification ID

Related Items (1)

Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points

Cites Work

• Extension of some important identities in shrinkage-pretest strategies
• Statistical inference for ergodic diffusion processes.
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• A simple formula for asymptotic distributional risk of some estimators
• On the harm that ignoring pretesting can cause
• The distribution of a linear predictor after model selection: conditional finite-sample distributions and asymptotic approximations
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
• Improved nonparametric estimation of location vectors in multivariate regression models
• Shrinkage drift parameter estimation for multi‐factor Ornstein–Uhlenbeck processes
• Shrinkage estimation for the difference between a control and treatment mean
• Theory of Preliminary Test and Stein‐Type Estimation With Applications
• On the Distribution of General Quadratic Functions in Normal Vectors
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