Extension of some important identities in shrinkage-pretest strategies

DOI10.1007/s00184-012-0425-5zbMathNoneOpenAlexW2014825064MaRDI QIDQ379960

Sévérien Nkurunziza

Publication date: 11 November 2013

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-012-0425-5

zbMATH Keywords

identitiesshrinkage estimatorrandom matrixKronecker productasymptotic distributional riskasymptotic distributional biasStein rule

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

Preliminary test and estimation in some multifactor diffusion processes ⋮ Efficient estimation method for generalized ARFIMA models ⋮ Generalized autoregressive moving average models: an efficient estimation approach ⋮ Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points

Cites Work

• Unnamed Item
• Robust inference strategy in the presence of measurement error
• On preliminary test and shrinkage M-estimation in linear models
• The risk of pretest and shrinkage estimators
• Modern Multivariate Statistical Techniques
• Shrinkage strategies in some multiple multi-factor dynamical systems
• Shrinkage drift parameter estimation for multi‐factor Ornstein–Uhlenbeck processes
• Theory of Preliminary Test and Stein‐Type Estimation With Applications

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