A Generalized Stochastic Restricted Ridge Regression Estimator |
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Authors: | M I Alheety |
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Institution: | Department of Mathematics, Anbar University, Ramadi, Iraq |
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Abstract: | In this article, we introduce a new stochastic restricted estimator for the unknown vector parameter in the linear regression model when stochastic linear restrictions on the parameters hold. We show that the new estimator is a generalization of the ordinary mixed estimator (OME), Liu estimator (LE), ordinary ridge estimator (ORR), (k-d) class estimator, stochastic restricted Liu estimator (SRLE), and stochastic restricted ridge estimator (SRRE). Performance of the new estimator in comparison to other estimators in terms of the mean squares error matrix (MMSE) is examined. Numerical example from literature have been given to illustrate the results. |
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Keywords: | Linear regression model Multicollinearity Ordinary mixed estimator Stochastic linear restrictions |
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