On improved estimation in a conditionally Gaussian regression

The paper considers the problem of estimating a $p\geq2$\ 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 pro...

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Bibliographische Detailangaben

1. Verfasser:	Pchelintsev, Evgeny
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Statistics Theory Statistics - Theory
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