2021•Statistical Inference for Stochastic ProcessesRequires access

Shrinkage estimation for multivariate time series

Yan Liu, Yoshiyuki Tanida, Masanobu Taniguchi

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Key concepts: Shrinkage, Estimator, Shrinkage estimator, Mean squared error, Mathematics, Minimum mean square error, James–Stein estimator, Statistics

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Shrinkage estimation for multivariate time series — Research Paper | ScholarLens