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

DOI10.1111/1467-9574.00125zbMATH Open0957.62072OpenAlexW1975194165MaRDI QIDQ4493437FDOQ4493437

Author name not available (Why is that?)

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

local alternativesshrinkage estimatorsvector autoregressive processasymptotic biasasymptotic distributional riskpreliminary test estimatorsmultivariate least square estimation

Mathematics Subject Classification ID

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

Cited In (5)

• Estimation strategies for the regression coefficient parameter matrix in multivariate multiple regression
• 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
• Can one estimate the conditional distribution of post-model-selection estimators?

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