Least squares, preliminary test and Stein‐type estimation in general vector AR(p) models

DOI10.1111/1467-9574.00125zbMath0957.62072OpenAlexW1975194165MaRDI QIDQ4493437

No author found.

Publication date: 29 March 2001

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9574.00125

zbMATH Keywords

asymptotic biaslocal alternativesasymptotic distributional riskshrinkage estimatorspreliminary test estimatorsvector autoregressive processmultivariate least square estimation

Mathematics Subject Classification ID

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

Related Items

Can one estimate the conditional distribution of post-model-selection estimators?, MODEL SELECTION AND INFERENCE: FACTS AND FICTION, Stein-type estimation using ranked set sampling, CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?