Extension of some important identities in shrinkage-pretest strategies

DOI10.1007/S00184-012-0425-5MaRDI QIDQ379960zbMATH OpenOpenAlexFDO

Authors 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

random matrixKronecker productshrinkage estimatoridentitiesasymptotic distributional riskasymptotic distributional biasStein rule

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• Modern Multivariate Statistical Techniques
• On preliminary test and shrinkage M-estimation in linear models
• Robust inference strategy in the presence of measurement error
• Shrinkage drift parameter estimation for multi-factor Ornstein-Uhlenbeck processes
• Shrinkage strategies in some multiple multi-factor dynamical systems
• The risk of pretest and shrinkage estimators
• Theory of Preliminary Test and Stein‐Type Estimation With Applications

Cited in

(4)

• Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points
• 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

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