Efficient estimation of the PDF and the CDF of the inverse Rayleigh distribution

In this paper, we consider the estimation of the probability density function and the cumulative distribution function of the inverse Rayleigh distribution. In this regard, the following estimators are considered: uniformly minimum variance unbiased estimator, maximum likelihood (ML) estimator, percentile estimator, least squares estimator and weighted least squares estimator. To do so, analytical expressions are derived for the mean integrated squared error. As the result of simulation studies and real data applications indicate, when the sample size is not very small the ML estimator performs better than the others.     

Some conditions for optimality of the almost unbiased estimators of regression coefficients

The purpose of this paper is to examine the asymptotic properties of the operational almost unbiased estimator of regression coefficients which includes almost unbiased ordinary ridge estimator a s a special case. The small distrubance approximations for the bias and mean square error matrix of the estimator are derived. As a consequence, it is proved that, under certain conditions, the estimator is more efficient than a general class of estimators given by Vinod and Ullah (1981). Also it is shown that, if the ordinary ridge estimator (ORE) dominates the ordinary least squares estimator then the almost unbiased ordinary ridge estimator does not dominate ORE under the mean square error criterion.     

Robust Mean Estimation Under a Possibly Incorrect Log-Normality Assumption

Nonparametric and parametric estimators are combined to minimize the mean squared error among their linear combinations. The combined estimator is consistent and for large sample sizes has a smaller mean squared error than the nonparametric estimator when the parametric assumption is violated. If the parametric assumption holds, the combined estimator has a smaller MSE than the parametric estimator. Our simulation examples focus on mean estimation when data may follow a lognormal distribution, or can be a mixture with an exponential or a uniform distribution. Motivating examples illustrate possible application areas.     

Efficient Estimation of the PDF and the CDF of the Exponentiated Gumbel Distribution

The exponentiated Gumbel model has been shown to be useful in climate modeling including global warming problem, flood frequency analysis, offshore modeling, rainfall modeling, and wind speed modeling. Here, we consider estimation of the probability density function (PDF) and the cumulative distribution function (CDF) of the exponentiated Gumbel distribution. The following estimators are considered: uniformly minimum variance unbiased (UMVU) estimator, maximum likelihood (ML) estimator, percentile (PC) estimator, least-square (LS) estimator, and weighted least-square (WLS) estimator. Analytical expressions are derived for the bias and the mean squared error. Simulation studies and real data applications show that the ML estimator performs better than others.     

A new estimator combining the ridge regression and the restricted least squares methods of estimation

It is well-known in the literature on multicollinearity that one of the major consequences of multicollinearity on the ordinary least squares estimator is that the estimator produces large sampling variances, which in turn might inappropriately lead to exclusion of otherwise significant coefficients from the model. To circumvent this problem, two accepted estimation procedures which are often suggested are the restricted least squares method and the ridge regression method. While the former leads to a reduction in the sampling variance of the estimator, the later ensures a smaller mean square error value for the estimator. In this paper we have proposed a new estimator which is based on a criterion that combines the ideas underlying these two estimators. The standard properties of this new estimator have been studied in the paper. It has also been shown that this estimator is superior to both the restricted least squares as well as the ordinary ridge regression estimators by the criterion of mean sauare error of the estimator of the regression coefficients when the restrictions are indeed correct. The conditions for superiority of this estimator over the other two have also been derived for the situation when the restrictions are not correct.     

Wavelet estimation of density for censored data with censoring indicator missing at random

In this paper, we define the nonlinear wavelet estimator of density for the right censoring model with the censoring indicator missing at random (MAR), and develop its asymptotic expression for mean integrated squared error (MISE). Unlike for kernel estimator, the MISE expression of the estimator is not affected by the presence of discontinuities in the curve. Meanwhile, asymptotic normality of the estimator is established. The proposed estimator can reduce to the estimator defined by Li [Non-linear wavelet-based density estimators under random censorship. J Statist Plann Inference. 2003;117(1):35–58] when the censoring indicator MAR does not occur and a bandwidth in non-parametric estimation is close to zero. Also, we define another two nonlinear wavelet estimators of the density. A simulation is done to show the performance of the three proposed estimators.     

More on the restricted Liu estimator in the logistic regression model

?iray et al. proposed a restricted Liu estimator to overcome multicollinearity in the logistic regression model. They also used a Monte Carlo simulation to study the properties of the restricted Liu estimator. However, they did not present the theoretical result about the mean squared error properties of the restricted estimator compared to MLE, restricted maximum likelihood estimator (RMLE) and Liu estimator. In this article, we compare the restricted Liu estimator with MLE, RMLE and Liu estimator in the mean squared error sense and we also present a method to choose a biasing parameter. Finally, a real data example and a Monte Carlo simulation are conducted to illustrate the benefits of the restricted Liu estimator.     

Prediction Error Property of the Lasso Estimator and its Generalization

The lasso procedure is an estimator‐shrinkage and variable selection method. This paper shows that there always exists an interval of tuning parameter values such that the corresponding mean squared prediction error for the lasso estimator is smaller than for the ordinary least squares estimator. For an estimator satisfying some condition such as unbiasedness, the paper defines the corresponding generalized lasso estimator. Its mean squared prediction error is shown to be smaller than that of the estimator for values of the tuning parameter in some interval. This implies that all unbiased estimators are not admissible. Simulation results for five models support the theoretical results.     

A modified ridge m-estimator for linear regression model with multicollinearity and outliers

The ordinary least-square estimators for linear regression analysis with multicollinearity and outliers lead to unfavorable results. In this article, we propose a new robust modified ridge M-estimator (MRME) based on M-estimator (ME) to deal with the combined problem resulting from multicollinearity and outliers in the y-direction. MRME outperforms modified ridge estimator, robust ridge estimator and ME, according to mean squares error criterion. Furthermore, a numerical example and a Monte Carlo simulation experiment are given to illustrate some of the theoretical results.     

MSE performance of the weighted average estimators consisting of shrinkage estimators

In this paper, we consider a regression model and propose estimators which are the weighted averages of two estimators among three estimators; the Stein-rule (SR), the minimum mean squared error (MMSE), and the adjusted minimum mean-squared error (AMMSE) estimators. It is shown that one of the proposed estimators has smaller mean-squared error (MSE) than the positive-part Stein-rule (PSR) estimator over a moderate region of parameter space when the number of the regression coefficients is small (i.e., 3), and its MSE performance is comparable to the PSR estimator even when the number of the regression coefficients is not so small.     

A two-parameter estimator in the negative binomial regression model

In this article, a two-parameter estimator is proposed to combat multicollinearity in the negative binomial regression model. The proposed two-parameter estimator is a general estimator which includes the maximum likelihood (ML) estimator, the ridge estimator (RE) and the Liu estimator as special cases. Some properties on the asymptotic mean-squared error (MSE) are derived and necessary and sufficient conditions for the superiority of the two-parameter estimator over the ML estimator and sufficient conditions for the superiority of the two-parameter estimator over the RE and the Liu estimator in the asymptotic mean-squared error (MSE) matrix sense are obtained. Furthermore, several methods and three rules for choosing appropriate shrinkage parameters are proposed. Finally, a Monte Carlo simulation study is given to illustrate some of the theoretical results.     

A jackknifed difference-based ridge estimator in the partial linear model with correlated errors

Tabakan and Akdeniz [Difference-based ridge estimator of parameters in partial linear model. Statist Pap. 2010;51(2):357–368] proposed a difference-based ridge estimator (DBRE) in the partial linear model. In this paper, a new estimator is introduced by jackknifing the DBRE that Tabakan and Akdeniz presented. We investigate the performance of this new estimator over the DBRE and difference-based estimator introduced by Yatchew [An elementary estimator of the partial linear model. Econom Lett. 1997;57:135–143] in terms of mean-squared error and mean-squared error matrix and a numerical example is provided to demonstrate the performance of the estimators.     

Modified and Restricted r-k Class Estimators

In this article, we introduce the modified r-k class estimator and the restricted r-k class estimator. We compare the performances of the new estimators to the r-k class estimator with respect to the matrix mean square error (MSE) criterion. As a special case of the restricted r-k class estimator, we obtain the restricted principal components regression (RPCR) estimator. Finally, we conduct a Monte Carlo simulation study and a numerical example to investigate the performances of the proposed estimators by the scalar mean square error (mse) criterion.     

Estimating Percentiles of Time-to-Failure Distribution Obtained from a Linear Degradation Model Using Kernel Density Method

In this article, we propose a nonparametric estimator for percentiles of the time-to-failure distribution obtained from a linear degradation model using the kernel density method. The properties of the proposed kernel estimator are investigated and compared with well-known maximum likelihood and ordinary least squares estimators via a simulation technique. The mean squared error and the length of the bootstrap confidence interval are used as the basis criteria of the comparisons. The simulation study shows that the performance of the kernel estimator is acceptable as a general estimator. When the distribution of the data is assumed to be known, the maximum likelihood and ordinary least squares estimators perform better than the kernel estimator, while the kernel estimator is superior when the assumption of our knowledge of the data distribution is violated. A comparison among different estimators is achieved using a real data set.     

The relative efficiency of the restricted estimators in linear regression models

This paper deals with the problem of multicollinearity in a multiple linear regression model with linear equality restrictions. The restricted two parameter estimator which was proposed in case of multicollinearity satisfies the restrictions. The performance of the restricted two parameter estimator over the restricted least squares (RLS) estimator and the ordinary least squares (OLS) estimator is examined under the mean square error (MSE) matrix criterion when the restrictions are correct and not correct. The necessary and sufficient conditions for the restricted ridge regression, restricted Liu and restricted shrunken estimators, which are the special cases of the restricted two parameter estimator, to have a smaller MSE matrix than the RLS and the OLS estimators are derived when the restrictions hold true and do not hold true. Theoretical results are illustrated with numerical examples based on Webster, Gunst and Mason data and Gorman and Toman data. We conduct a final demonstration of the performance of the estimators by running a Monte Carlo simulation which shows that when the variance of the error term and the correlation between the explanatory variables are large, the restricted two parameter estimator performs better than the RLS estimator and the OLS estimator under the configurations examined.     

Comparison of estimation methods for the finite population mean in simple random sampling: symmetric super-populations

In this paper, a new estimator combined estimator (CE) is proposed for estimating the finite population mean ¯ Y _N in simple random sampling assuming a long-tailed symmetric super-population model. The efficiency and robustness properties of the CE is compared with the widely used and well-known estimators of the finite population mean ¯ Y _N by Monte Carlo simulation. The parameter estimators considered in this study are the classical least squares estimator, trimmed mean, winsorized mean, trimmed L-mean, modified maximum-likelihood estimator, Huber estimator (W24) and the non-parametric Hodges–Lehmann estimator. The mean square error criteria are used to compare the performance of the estimators. We show that the CE is overall more efficient than the other estimators. The CE is also shown to be more robust for estimating the finite population mean ¯ Y _N , since it is insensitive to outliers and to misspecification of the distribution. We give a real life example.     

Estimating a uniform distribution when data are measured with a normal additive error with unknown variance

The problem of estimating the width of a symmetric uniform distribution on the line together with the error variance, when data are measured with normal additive error, is considered. The main purpose is to analyse the maximum-likelihood (ML) estimator and to compare it with the moment-method estimator. It is shown that this two-parameter model is regular so that the ML estimator is asymptotically efficient. Necessary and sufficient conditions are given for the existence of the ML estimator. As numerical problems are known to frequently occur while computing the ML estimator in this model, useful suggestions for computing the ML estimator are also given.     

On huntseerger type shrinkage estimator

This paper is concerned with Hintsberger type weighted shrinkage estimator of a parameter when a target value of the same is available. Expressions for the bias and the mean squared error of the estimator are derived. Some results concerning the bias, existence of uniformly minimum mean squared error estimator etc. are proved. For certain c to ices of the weight function, numerical results are presented for the pretest type weighted shrinkage estimator of the mean of normal as well as exponential distributions.     

A modified Liu-type estimator with an intercept term under mixture experiments

We consider ridge regression with an intercept term under mixture experiments. We propose a new estimator which is shown to be a modified version of the Liu-type estimator. The so-called compound covariate estimator is applied to modify the Liu-type estimator. We then derive a formula of the total mean squared error (TMSE) of the proposed estimator. It is shown that the new estimator improves upon existing estimators in terms of the TMSE, and the performance of the new estimator is invariant under the change of the intercept term. We demonstrate the new estimator using a real dataset on mixture experiments.     

A Convolution Estimator for the Density of Nonlinear Regression Observations

Abstract. The problem of estimating an unknown density function has been widely studied. In this article, we present a convolution estimator for the density of the responses in a nonlinear heterogenous regression model. The rate of convergence for the mean square error of the convolution estimator is of order n ^?1 under certain regularity conditions. This is faster than the rate for the kernel density method. We derive explicit expressions for the asymptotic variance and the bias of the new estimator, and further a data‐driven bandwidth selector is proposed. We conduct simulation experiments to check the finite sample properties, and the convolution estimator performs substantially better than the kernel density estimator for well‐behaved noise densities.