Shrinkage estimators of BLUE for time series regression models

DOI10.1016/J.JMVA.2023.105282MaRDI QIDQ6536685zbMATH OpenFDO

Authors Yujie Xue, Masanobu Taniguchi, Tong Liu

Publication date 13 May 2024

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

BLUEshrinkage estimatorGaussian stationary processregression spectrumthe best linear unbiased estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Multivariate analysis (62Hxx)

Cites work

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• A central limit theorem for stationary processes and the parameter estimation of linear processes
• Data Analysis Using Stein's Estimator and its Generalizations
• Estimation with quadratic loss.
• Higher order asymptotic theory for time series analysis
• Higher-order asymptotic theory of shrinkage estimation for general statistical models
• James-Stein estimators for time series regression models
• Robust Estimation of Mean Squared Error of Small Area Estimators
• Second-order risk structure of GLSE and MLE in a regression with a linear process
• The Stein–James estimator for short- and long-memory Gaussian processes
• Uniform convergency for weighted periodogram of stationary linear random fields

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