On preliminary test and shrinkage estimation in linear models with long memory errors

Mukherjee, Kanchan (1998) On preliminary test and shrinkage estimation in linear models with long memory errors. Journal of Statistical Planning and Inference, 69 (2). pp. 319-328. ISSN 0378-3758

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Abstract

This paper discusses the problem of estimating a subset of parameters when the complementary subset is possibly redundant, in a linear regression model when the errors are generated from a long-memory process. Such a model arises due to the overmodelling of a situation involving long-memory data. Along with the classical least-squares estimator and restricted least-squares estimator, preliminary test least-squares estimator and shrinkage least-squares estimator are investigated in an asymptotic set-up and their relative performances are studied under contiguous alternatives. The contiguous alternatives under such dependence are fundamentally different from those under the independent errors case.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Statistical Planning and Inference
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1804
Subjects:
ID Code:
65670
Deposited By:
Deposited On:
15 Jul 2013 09:11
Refereed?:
Yes
Published?:
Published
Last Modified:
01 Jan 2020 08:34