Shrinkage estimation for multivariate time series

This paper deals with shrinkage estimators for the mean of p-dimensional Gaussian stationary processes. The shrinkage estimators are expressed by a shrinkage function, including the sample mean and the James–Stein estimator as special cases. We evaluate the mean squared error of such shrinkage estimators from the true mean of a p-dimensional Gaussian vector stationary process with $$p \ge 3$$ . A sufficient condition for shrinkage estimators improving the mean squared error upon the sample mean is given in terms of the shrinkage function and the spectral density matrix. In addition, a shrinkage estimator, providing the most significant improvement to the sample mean, is proposed as a theoretical result. The remarkable performance of the proposed shrinkage estimator, compared with the sample mean and the James–Stein estimator, is illustrated by a thorough numerical simulation. A real data analysis also witnesses the applicability of the proposed estimator for multivariate time series.