Shrinkage estimators of BLUE for time series regression models

DOI10.1016/J.JMVA.2023.105282MaRDI QIDQ6536685

Yujie Xue, Tong Liu, Masanobu Taniguchi

Publication date: 13 May 2024

Published in: (Search for Journal in Brave)

zbMATH Keywords

shrinkage estimatorBLUEGaussian stationary processregression spectrumthe best linear unbiased estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Multivariate analysis (62Hxx)

Cites Work

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• James-Stein estimators for time series regression models
• Second-order risk structure of GLSE and MLE in a regression with a linear process
• A central limit theorem for stationary processes and the parameter estimation of linear processes
• Higher order asymptotic theory for time series analysis
• Higher-order asymptotic theory of shrinkage estimation for general statistical models
• Uniform convergency for weighted periodogram of stationary linear random fields
• The Stein–James estimator for short- and long-memory Gaussian processes
• Data Analysis Using Stein's Estimator and its Generalizations
• Robust Estimation of Mean Squared Error of Small Area Estimators

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