A SIMULATION STUDY OF BIASED-ESTIMATORS AGAINST THE ORDINARY LEAST-SQUARES ESTIMATOR

被引：1

作者：

THIART, C ^{[1
]}

DUNNE, TT ^{[1
]}

TROSKIE, CG ^{[1
]}

CHALTON, DO ^{[1
]}

机构：

[1] UNIV CAPE TOWN,DEPT STAT SCI,RONDEBOSCH 7700,SOUTH AFRICA

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 1993年 / 22卷 / 02期

关键词：

COLLINEARITY; BIASED ESTIMATORS; SIMULATION;

D O I：

10.1080/03610919308813109

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A simulation study was performed to examine the relative efficiency of thirteen estimators against OLSE across thirty combinations of orientation, variance and known parameter vector, encompassing several different degrees of collinearity. Estimation procedures include principal components, ridge and generalized ridge, jackknife, shrinkage and fractional principal component methods. Overall, in the face of collinearity the biased estimators perform better than OLSE, but no 'optimal' estimator emerges, and a suitable choice of estimator will depend on the circumstances.

引用

页码：569 / 589

页数：21

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