Shrinkage estimation in time series using a bootstrapped covariance estimate

DOI10.1080/00949659508811710zbMath0874.62103OpenAlexW2025697254MaRDI QIDQ4352566

Ravishanker, Nalini, Dey, Dipak K., Lilian Shiao-Yen Wu

Publication date: 13 November 1997

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659508811710

zbMATH Keywords

mean squared errorshrinkage estimatorsscale parameterbootstrappingPitman nearnesssimulation studiesBox-Jenkins ARIMA modelinter-series dependenceestimate of covariance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Minimax estimation of a normal mean vector when the covariance matrix is unknown
• Predicting a Multitude of Time Series
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process

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