A new Liu-type estimator for the Inverse Gaussian Regression Model

被引:33
作者
Akram, Muhammad Nauman [1 ]
Amin, Muhammad [1 ]
Qasim, Muhammad [2 ]
机构
[1] Univ Sargodha, Dept Stat, Sargodha, Pakistan
[2] Jonkoping Univ, Dept Econ Finance & Stat, Jonkoping, Sweden
关键词
Inverse Gaussian Regression Model; multicollinearity; maximum likelihood estimator; Liu-type estimator; mean squared error; application of IGRM; GDP; IGRRE; IGLE; IGLTE; RIDGE-REGRESSION; BIASED ESTIMATOR; PERFORMANCE; PARAMETERS;
D O I
10.1080/00949655.2020.1718150
中图分类号
TP39 [计算机的应用];
学科分类号
081203 ; 0835 ;
摘要
The Inverse Gaussian Regression Model (IGRM) is used when the response variable is positively skewed and follows the inverse Gaussian distribution. In this article, we propose a Liu-type estimator to combat multicollinearity in the IGRM. The variance of the Maximum Likelihood Estimator (MLE) is overstated due to the presence of severe multicollinearity. Moreover, some estimation methods are suggested to estimate the optimal value of the shrinkage parameter. The performance of the proposed estimator is compared with the MLE and some other existing estimators in the sense of mean squared error through Monte Carlo simulation and different real-life applications. Under certain conditions, it is concluded that the proposed estimator is superior to the MLE, ridge, and Liu estimator.
引用
收藏
页码:1153 / 1172
页数:20
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