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摘要:
Ridge type estimators are used to estimate regression parameters in a multiple linear regression model when multicolinearity exists among predictor variables. When different estimators are available, preliminary test estimation procedure is adopted to select a suitable estimator. In this paper, two ridge estimators, the Stochastic Restricted Liu Estimator and Liu Estimator are combined to define a new preliminary test estimator, namely the Preliminary Test Stochastic Restricted Liu Estimator (PTSRLE). The stochastic properties of the proposed estimator are derived, and the performance of PTSRLE is compared with SRLE in the sense of mean square error matrix (MSEM) and scalar mean square error (SMSE) for the two cases in which the stochastic restrictions are correct and not correct. Moreover the SMSE of PTSRLE based on Wald (WA), Likelihood Ratio (LR) and Lagrangian Multiplier (LM) tests are derived, and the performance of PTSRLE is compared using WA, LR and LM tests as a function of the shrinkage parameter d with respect to the SMSE. Finally a numerical example is given to illustrate some of the theoretical findings.
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篇名 Improvement of the Preliminary Test Estimator When Stochastic Restrictions are Available in Linear Regression Model
来源期刊 统计学期刊(英文) 学科 数学
关键词 Preliminary TEST ESTIMATOR Mean SQUARE ERROR Matrix Scalar Mean SQUARE ERROR STOCHASTIC Restricted LIU ESTIMATOR LIU ESTIMATOR Wald TEST Likelihood Ratio TEST Lagrangian Multiplier TEST
年,卷(期) tjxqkyw_2013,(4) 所属期刊栏目
研究方向 页码范围 283-292
页数 10页 分类号 O1
字数 语种
DOI
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Preliminary
TEST
ESTIMATOR
Mean
SQUARE
ERROR
Matrix
Scalar
Mean
SQUARE
ERROR
STOCHASTIC
Restricted
LIU
ESTIMATOR
LIU
ESTIMATOR
Wald
TEST
Likelihood
Ratio
TEST
Lagrangian
Multiplier
TEST
研究起点
研究来源
研究分支
研究去脉
引文网络交叉学科
相关学者/机构
期刊影响力
统计学期刊(英文)
半月刊
2161-718X
武汉市江夏区汤逊湖北路38号光谷总部空间
出版文献量(篇)
584
总下载数(次)
0
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