A new stochastic mixed ridge estimator in linear regression model |
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Authors: | Yalian Li Hu Yang |
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Institution: | 1. Department of Statistics and Actuarial Science, Chongqing University, 400030, Chongqing, China
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Abstract: | This paper is concerned with the parameter estimation in linear regression model with additional stochastic linear restrictions.
To overcome the multicollinearity problem, a new stochastic mixed ridge estimator is proposed and its efficiency is discussed.
Necessary and sufficient conditions for the superiority of the stochastic mixed ridge estimator over the ridge estimator and
the mixed estimator in the mean squared error matrix sense are derived for the two cases in which the parametric restrictions
are correct and are not correct. Finally, a numerical example is also given to show the theoretical results. |
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Keywords: | |
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