Higher-order asymptotic theory of shrinkage estimation for general statistical models

DOI10.1016/J.JMVA.2018.03.006MaRDI QIDQ1749993zbMATH OpenOpenAlexWikidataFDO

Authors Hiroshi Shiraishi, Masanobu Taniguchi, Takashi Yamashita

Publication date 17 May 2018

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.jmva.2018.03.006

zbMATH Keywords

curved statistical modeldependent datahigher-order asymptotic theorymaximum likelihood estimationportfolio estimationregression modelshrinkage estimatorstationary process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cited in

(8)

• Gradient statistic: higher-order asymptotics and Bartlett-type correction
• Comparing six shrinkage estimators with large sample theory and asymptotically optimal prediction intervals
• Higher-order asymptotics and the likelihood principle: One-parameter models
• Order shrinkage and selection for the INGARCH(p,q) model
• Shrinkage Estimators of the Probability Density Function Under Association
• Shrinkage estimators of BLUE for time series regression models
• Title not available (Why is no real title available?)
• Efficient shrinkage in parametric models

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