Shrinkage estimation of the memory parameter in stationary Gaussian processes

DOI10.1080/03610926.2013.770534MaRDI QIDQ5265852zbMATH OpenOpenAlexFDO

Authors Abdulkadir Hussein, Sévérien Nkurunziza

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

zbMATH Keywords

asymptotic distributional riskconstrained inferenceMLEQMLEshrinkage estimatorstationary Gaussian process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric inference under constraints (62F30) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
• Estimating a change point in the long memory parameter
• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• On continuous-time autoregressive fractionally integrated moving average processes
• Optimum Critical Value for Pre-Test Estimator
• Preliminary Test Estimation for Regression Models with Long-Memory Disturbance
• Preliminary test ridge regression estimators with Student's \(t\) errors and conflicting test-statis\-tics
• Shrinkage drift parameter estimation for multi-factor Ornstein-Uhlenbeck processes
• Shrinkage strategies in some multiple multi-factor dynamical systems
• Theory of Preliminary Test and Stein‐Type Estimation With Applications

Cited in

(7)

• Adaptive wavelet-based estimator of the memory parameter for stationary Gaussian processes
• Shrinkage estimation for multivariate time series
• On shrinkage estimation of the parameters of an autoregressive Gaussian process
• The Stein–James estimator for short- and long-memory Gaussian processes
• ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
• Generalized autoregressive moving average models: an efficient estimation approach
• Shrinkage estimation of integer-valued autoregressive processes of order one with covariates

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