A class of Stein-rules in multivariate regression model with structural changes

DOI10.1111/SJOS.12166MaRDI QIDQ2791830zbMATH OpenOpenAlexFDO

Authors Fuqi Chen, Sévérien Nkurunziza

Publication date 16 March 2016

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/sjos.12166

zbMATH Keywords

ADRchange-pointsmixingale arraymultivariate regressionrestricted estimatorshrinkage estimatorsunrestricted estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited in

(11)

• Improved estimation in tensor regression with multiple change-points
• Constrained inference in multiple regression with structural changes
• Non-penalty shrinkage estimation of random effect models for longitudinal data with AR(1) errors
• The risk of tensor Stein-rules in elliptically contoured distributions
• Shrinkage estimator of regression model under asymmetric loss
• Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points
• On efficiency of some restricted estimators in a multivariate regression model
• Improved estimation in a multivariate regression with measurement error
• Change-point detection in a tensor regression model
• Some Stein-rule methods in tensor regression model with high-dimensional data
• The class of BAN estimators of a single structural equation with structural change

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