Extension of some important identities in shrinkage-pretest strategies

DOI10.1007/S00184-012-0425-5zbMATH OpenNoneOpenAlexW2014825064MaRDI QIDQ379960FDOQ379960

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

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zbMATH Keywords

random matrixKronecker productshrinkage estimatoridentitiesasymptotic distributional riskasymptotic distributional biasStein rule

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Modern Multivariate Statistical Techniques
• On preliminary test and shrinkage M-estimation in linear models
• Title not available (Why is that?)
• Theory of Preliminary Test and Stein‐Type Estimation With Applications
• The risk of pretest and shrinkage estimators
• Shrinkage strategies in some multiple multi-factor dynamical systems
• Shrinkage drift parameter estimation for multi-factor Ornstein-Uhlenbeck processes
• Robust inference strategy in the presence of measurement error

Cited In (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

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