James-Stein estimators for time series regression models

DOI10.1016/j.jmva.2005.08.011zbMath1101.62079OpenAlexW1996990889MaRDI QIDQ855910

Masanobu Taniguchi, Motohiro Senda

Publication date: 7 December 2006

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2005.08.011

zbMATH Keywords

James-Stein estimatorleast squares estimatorGaussian stationary processmean squares errorregression spectrumresidual spectral density matrixtime series regression model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Admissibility in statistical decision theory (62C15)

Related Items

A Note on the Comparison of the Stein Estimator and the James-Stein Estimator ⋮ Higher-order asymptotic theory of shrinkage estimation for general statistical models

Cites Work

• Uniform convergency for weighted periodogram of stationary linear random fields
• The Stein–James estimator for short- and long-memory Gaussian processes
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