Ridge autoregression estimation: LS method
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Recommendations
- Least squares, preliminary test and Stein‐type estimation in general vector AR(p) models
- \(R\)-estimation of the parameters of autoregressive [AR(\(p\))] models
- Ridge Estimation in Linear Models with Autocorrelated Errors
- Mean estimation bias in least squares estimation of autoregressive processes
- On Sequential Least Squares Estimates of Autoregressive Parameters
Cites work
- \(R\)-estimation of the parameters of autoregressive [AR(\(p\))] models
- A note on classical Stein-type estimators in elliptically contoured models
- On some ridge regression estimators: a nonparametric approach
- Performance of some new preliminary test ridge regression estimators and their properties
- Preliminary test and Stein estimations in simultaneous linear equations
- Theory of Preliminary Test and Stein‐Type Estimation With Applications
- Time series: theory and methods
- Weighted empirical processes in dynamic nonlinear models.
Cited in
(4)- Ridge estimation for spatio-temporal autoregressive semi-parametric delay models
- Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties
- Least squares, preliminary test and Stein‐type estimation in general vector AR(p) models
- A legacy in statistics: the life and contributions of Professor A. K. Md. Ehsanes Saleh
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