Shrinkage estimation for multivariate time series

Yan Liu*, Yoshiyuki Tanida, Masanobu Taniguchi

*この研究の対応する著者

研究成果: Article査読

抄録

This paper deals with shrinkage estimators for the mean of p-dimensional Gaussian stationary processes. The shrinkage estimators are expressed by a shrinkage function, including the sample mean and the James–Stein estimator as special cases. We evaluate the mean squared error of such shrinkage estimators from the true mean of a p-dimensional Gaussian vector stationary process with p≥ 3. A sufficient condition for shrinkage estimators improving the mean squared error upon the sample mean is given in terms of the shrinkage function and the spectral density matrix. In addition, a shrinkage estimator, providing the most significant improvement to the sample mean, is proposed as a theoretical result. The remarkable performance of the proposed shrinkage estimator, compared with the sample mean and the James–Stein estimator, is illustrated by a thorough numerical simulation. A real data analysis also witnesses the applicability of the proposed estimator for multivariate time series.

本文言語English
ジャーナルStatistical Inference for Stochastic Processes
DOI
出版ステータスAccepted/In press - 2021

ASJC Scopus subject areas

  • 統計学および確率

フィンガープリント

「Shrinkage estimation for multivariate time series」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル