Shrinkage Estimation of the Memory Parameter in Stationary Gaussian Processes

DOI10.1080/03610926.2013.770534zbMath1328.62187OpenAlexW1992233260MaRDI QIDQ5265852

Abdulkadir Hussein, Sévérien Nkurunziza

Publication date: 29 July 2015

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

Full work available at URL: https://doi.org/10.1080/03610926.2013.770534

zbMATH Keywords

shrinkage estimatorstationary Gaussian processMLEasymptotic distributional riskQMLEconstrained inference

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Parametric inference under constraints (62F30)

Related Items (1)

Generalized autoregressive moving average models: an efficient estimation approach

Cites Work

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• ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
• Shrinkage drift parameter estimation for multi‐factor Ornstein–Uhlenbeck processes
• Theory of Preliminary Test and Stein‐Type Estimation With Applications
• Optimum Critical Value for Pre-Test Estimator

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