Shrinkage estimation of contemporaneous outliers in concurrent time serie

DOI10.1080/03610919608813334MaRDI QIDQ4337284zbMATH OpenOpenAlexFDO

Authors Nalini Ravishanker, Dipak K. Dey, Lilian Shiao-Yen Wu

Publication date 13 June 2000

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610919608813334

zbMATH Keywords

ARIMA modelsbootstrapcovariance estimateinter-series dependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Bootstrap in moving average models
• Combining independent normal mean estimation problems with unknown variances
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Minimax estimation of a normal mean vector for arbitrary quadratic loss and unknown covariance matrix
• Minimax estimation of a normal mean vector when the covariance matrix is unknown
• Minimax estimation of location parameters for spherically symmetric unimodal distributions under quadratic loss
• Minimax estimation of location vectors for a wide class of densities
• Predicting a Multitude of Time Series
• Reallocation Outliers in Time Series

Cited in

(1)

• Shrinkage estimation in time series using a bootstrapped covariance estimate

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