A new Liu-type estimator in linear regression model

被引：52

作者：

Li, Yalian ^{[1
]}

Yang, Hu ^{[1
]}

机构：

[1] Chongqing Univ, Coll Math & Stat, Chongqing 400030, Peoples R China

来源：

STATISTICAL PAPERS | 2012年 / 53卷 / 02期

关键词：

Modified Liu estimator; Liu estimator; Modified ridge estimator; Ridge estimator; Prior information; ERROR;

D O I：

10.1007/s00362-010-0349-y

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：

In this paper, we introduce a new Liu-type estimator called modified Liu estimator based on prior information for the vector of parameters in a linear regression model and discuss its properties. Furthermore, we obtain that our new estimator is superior, in the mean square error matrix sense, to the least squares estimator, Liu estimator, ridge estimator and modified ridge estimator. Finally, a numerical example and a Monte Carlo simulation are done to illustrate some of the theoretical results.

引用

页码：427 / 437

页数：11

共 12 条

[1] Mean squared error matrix comparisons of some biased estimators in linear regression [J].

Akdeniz, F ;

Erol, H .

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2003, 32 (12) :2389-2413

[2]

FAREBROTHER RW, 1976, J ROY STAT SOC B MET, V38, P248

[3] RIDGE REGRESSION - BIASED ESTIMATION FOR NONORTHOGONAL PROBLEMS [J].

HOERL, AE ;

KENNARD, RW .

TECHNOMETRICS, 1970, 12 (01) :55-&

[4]

Kaciranlar S., 1999, SANKHYA SER B, V61, P443

[5] Using Liu-type estimator to combat collinearity [J].

Liu, KJ .

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2003, 32 (05) :1009-1020

[6]

LIU KJ, 1993, COMMUN STAT THEORY, V22, P393

[7] Mean squared error comparisons of some biased regression estimators [J].

Sakallioglu, S ;

Kaçiranlar, S ;

Akdeniz, F .

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2001, 30 (02) :347-361

[8] A new biased estimator based on ridge estimation [J].

Sakallioglu, Sadullah ;

Kaciranlar, Selahattin .

STATISTICAL PAPERS, 2008, 49 (04) :669-689

[9]

Stein C., 1956, P 3 BERK S MATH STAT, P197, DOI DOI 10.1525/9780520313880-018

[10] GOOD RIDGE ESTIMATORS BASED ON PRIOR INFORMATION [J].

SWINDEL, BF .

COMMUNICATIONS IN STATISTICS PART A-THEORY AND METHODS, 1976, 5 (11) :1065-1075

← 1 2 →