Evaluation of the Predictive Performance of the Liu Estimator


Özbey F. , Kaçıranlar S.

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, vol.44, pp.1981-1993, 2015 (Journal Indexed in SCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 44
  • Publication Date: 2015
  • Doi Number: 10.1080/03610926.2012.756914
  • Title of Journal : COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
  • Page Numbers: pp.1981-1993

Abstract

Multiple linear regression models are frequently used in predicting ( forecasting) unknown values of the response variable y. In this case, a regression model ability to produce an adequate prediction equation is of prime importance. This paper discusses the predictive performance of the Liu estimator compared to ordinary least squares, as well as to two other popular biased estimators, principal components and Ridge regression estimators. The theoretical results are illustrated by a numerical example, and a region is established where the Liu estimator is uniformly superior to the other three estimators.