A new biased estimator based on ridge estimation

SAKALLIOĞLU S., KAÇIRANLAR S.

STATISTICAL PAPERS, cilt.49, sa.4, ss.669-689, 2008 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 49 Sayı: 4
  • Basım Tarihi: 2008
  • Doi Numarası: 10.1007/s00362-006-0037-0
  • Dergi Adı: STATISTICAL PAPERS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.669-689
  • Anahtar Kelimeler: biased regression, mean squared error, multicollinearity, ridge regression, Liu estimator, SQUARED ERROR COMPARISONS, REGRESSION-ESTIMATORS, LINEAR-REGRESSION, LIU ESTIMATOR
  • Çukurova Üniversitesi Adresli: Evet

Özet

In this paper we introduce a new biased estimator for the vector of parameters in a linear regression model and discuss its properties. We show that our new biased estimator is superior, in the mean square error(mse) sense, to the ordinary least squares (OLS) estimator, the ordinary ridge regression (ORR) estimator and the Liu estimator. We also compare the performance of our new biased estimator with two other special Liu-type estimators proposed in Liu (2003). We illustrate our findings with a numerical example based on the widely analysed dataset on Portland cement.