Shrinkage Estimation of Linear Regression Models with GARCH Errors
This paper introduces shrinkage estimators for the parameter vector of a linear regression model with con- ditionally heteroscedastic errors such as the class of generalized autoregressive conditional heteroscedastic (GARCH) errors when some of the regression parameters are restricted to a subspace....
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer
2016-11-01
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| Series: | Journal of Statistical Theory and Applications (JSTA) |
| Subjects: | |
| Online Access: | https://www.atlantis-press.com/article/25867323.pdf |