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Shrinkage Estimation for Multivariate Hidden Markov Mixture Models

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  • Fiecas , Mark
  • Franke, Jurgen
  • von Sachs, Rainer
  • Tadjuidje , Joseph

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  • Fiecas , Mark & Franke, Jurgen & von Sachs, Rainer & Tadjuidje , Joseph, 2012. "Shrinkage Estimation for Multivariate Hidden Markov Mixture Models," LIDAM Discussion Papers ISBA 2012016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2012016
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    References listed on IDEAS

    as
    1. Sancetta, Alessio, 2008. "Sample covariance shrinkage for high dimensional dependent data," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 949-967, May.
    2. Doukhan, Paul & Louhichi, Sana, 1999. "A new weak dependence condition and applications to moment inequalities," Stochastic Processes and their Applications, Elsevier, vol. 84(2), pages 313-342, December.
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