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

DOI10.1093/BIOMET/92.3.737zbMATH Open1152.62373OpenAlexW2014917829MaRDI QIDQ3597975FDOQ3597975

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

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zbMATH Keywords

mean squared errorlong-memory processspectral density matrixshort-memory processStein-James estimator

Mathematics Subject Classification ID

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

Cited In (8)

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

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