The Stein–James estimator for short- and long-memory Gaussian processes

DOI10.1093/BIOMET/92.3.737MaRDI QIDQ3597975zbMATH OpenOpenAlexFDO

Authors Masanobu Taniguchi, Junichi Hirukawa

Publication date 29 January 2009

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/92.3.737

zbMATH Keywords

long-memory processmean squared errorshort-memory processspectral density matrixStein-James estimator

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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• Higher-order asymptotic theory of shrinkage estimation for general statistical models
• Generalized Cauchy model of sea level fluctuations with long-range dependence
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• Shrinkage estimation of the memory parameter in stationary Gaussian processes
• Improved estimation for the autocovariances of a Gaussian stationary process
• Shrinkage estimators of BLUE for time series regression models
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