Optimal Generalized Biased Estimator in Linear Regression Model

• 作者: Pushpakanthie Wijekoon Sivarajah Arumairajan
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: MULTICOLLINEARITY Biased ESTIMATOR GENERALIZED OPTIMAL ESTIMATOR SCALAR Mean SQUARE Error
• 年，卷（期）: 2015,（5）
• 页码范围: 403-411
• 页数: 9页
• 分类号: O1

摘要

The paper introduces a new biased estimator namely Generalized Optimal Estimator (GOE) in a multiple linear regression when there exists multicollinearity among predictor variables. Stochastic properties of proposed estimator were derived, and the proposed estimator was compared with other existing biased estimators based on sample information in the the Scalar Mean Square Error (SMSE) criterion by using a Monte Carlo simulation study and two numerical illustrations.