Optimal method in multiple regression with structural changes

DOI10.3150/14-BEJ642zbMath1388.62159arXiv1509.05581OpenAlexW1883838992MaRDI QIDQ888480

Sévérien Nkurunziza, Fuqi Chen

Publication date: 30 October 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.05581

zbMATH Keywords

shrinkage estimatorsrestricted estimatormultiple regressionchange-pointspre-test estimatorsADBADRunrestricted estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (9)

The risk of tensor Stein-rules in elliptically contoured distributions ⋮ Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting ⋮ Improved estimation in tensor regression with multiple change-points ⋮ Shrinkage estimation of the exponentiated Weibull regression model for time‐to‐event data ⋮ On efficiency of some restricted estimators in a multivariate regression model ⋮ Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point ⋮ Inference in a multivariate generalized mean-reverting process with a change-point ⋮ Estimation and testing in generalized mean-reverting processes with change-point ⋮ Non-penalty shrinkage estimation of random effect models for longitudinal data with AR(1) errors

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