Least squares, preliminary test and Stein‐type estimation in general vector AR(p) models

DOI10.1111/1467-9574.00125MaRDI QIDQ4493437zbMATH OpenOpenAlexFDO

Authors

Publication date 29 March 2001

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9574.00125

zbMATH Keywords

asymptotic biasasymptotic distributional risklocal alternativesmultivariate least square estimationpreliminary test estimatorsshrinkage estimatorsvector autoregressive process

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(7)

• \(R\)-estimation of the parameters of autoregressive [AR(\(p\))] models
• Ridge autoregression estimation: LS method
• CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?
• Stein-type estimation using ranked set sampling
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Estimation strategies for the regression coefficient parameter matrix in multivariate multiple regression
• Can one estimate the conditional distribution of post-model-selection estimators?

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