On improved estimation in a conditionally Gaussian regression
Statistics Theory
2011-05-27 v1 Statistics Theory
Abstract
The paper considers the problem of estimating a \ dimensional mean vector of a multivariate conditionally normal distribution under quadratic loss. The problem of this type arises when estimating the parameters in a continuous time regression model with a non-Gaussian Ornstein--Uhlenbeck process driven by the mixture of a Brownian motion and a compound Poisson process.
Cite
@article{arxiv.1105.5036,
title = {On improved estimation in a conditionally Gaussian regression},
author = {Evgeny Pchelintsev},
journal= {arXiv preprint arXiv:1105.5036},
year = {2011}
}