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

MLEQMLEshrinkage estimatorstationary Gaussian processasymptotic distributional riskconstrained inference

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
• Estimating a change point in the long memory parameter
• 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

(6)

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

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