Shrinkage estimation of the memory parameter in stationary Gaussian processes
DOI10.1080/03610926.2013.770534zbMATH Open1328.62187OpenAlexW1992233260MaRDI QIDQ5265852FDOQ5265852
Sévérien Nkurunziza, Abdulkadir Hussein
Publication date: 29 July 2015
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2013.770534
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MLEQMLEshrinkage estimatorstationary Gaussian processasymptotic distributional riskconstrained inference
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Cites Work
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- Shrinkage drift parameter estimation for multi‐factor Ornstein–Uhlenbeck processes
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- Preliminary test ridge regression estimators with Student's \(t\) errors and conflicting test-statis\-tics
- ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
- On continuous-time autoregressive fractionally integrated moving average processes
- Estimating a change point in the long memory parameter
- Preliminary Test Estimation for Regression Models with Long-Memory Disturbance
Cited In (5)
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- Adaptive wavelet-based estimator of the memory parameter for stationary Gaussian processes
- The Stein–James estimator for short- and long-memory Gaussian processes
- Generalized autoregressive moving average models: an efficient estimation approach
- On shrinkage estimation of the parameters of an autoregressive Gaussian process
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