A note on Farebrother’s estimator: a comparative study

KAÇIRANLAR S., Mirezi B., GÜLER H.

Communications in Statistics: Simulation and Computation, 2024 (SCI-Expanded) identifier

  • Publication Type: Article / Article
  • Publication Date: 2024
  • Doi Number: 10.1080/03610918.2024.2365324
  • Journal Name: Communications in Statistics: Simulation and Computation
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, Applied Science & Technology Source, Business Source Elite, Business Source Premier, CAB Abstracts, Compendex, Computer & Applied Sciences, Veterinary Science Database, zbMATH, Civil Engineering Abstracts
  • Keywords: 62J05, 62J07, 62P20, Mean square error, Multicollinearity, Ordinary least squares, Restricted least squares, Ridge regression
  • Çukurova University Affiliated: Yes

Abstract

In this article, we begin by providing a theoretical comparison between Farebrother’s estimator and the ridge estimator, in terms of the MSE matrix criterion, under three distinct restrictions when (Formula presented.) is random. Additionally, we propose an estimate of parameter (Formula presented.) for Farebrother’s estimator. Subsequently, we present a Monte Carlo simulation experiment to compare Farebrother’s estimator with OLS, RLS, and ridge estimators.