Minimax estimation for time series models
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DOI: 10.1007/s40300-021-00217-6
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References listed on IDEAS
- Taniguchi, M. & Krishnaiah, P. R., 1987. "Asymptotic distributions of functions of the eigenvalues of sample covariance matrix and canonical correlation matrix in multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 22(1), pages 156-176, June.
- Taniguchi, Masanobu, 2008. "Non-regular estimation theory for piecewise continuous spectral densities," Stochastic Processes and their Applications, Elsevier, vol. 118(2), pages 153-170, February.
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Cited by:
- Xiaofei Xu & Yan Liu & Masanobu Taniguchi, 2023. "Higher‐order asymptotics of minimax estimators for time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(2), pages 247-257, March.
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Keywords
Minimax estimator; Prediction error; Vector autoregressive model; Whittle estimator; Jeffreys’ prior; Bayes estimator; Risk function.;All these keywords.
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