Positive-rule stein-type almost unbiased ridge estimator in linear regression model |
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Authors: | Chaolin Liu Hu Yang |
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Institution: | 1. Department of Statistics and Actuarial Science, Chongqing University, Chongqing, Chinalcl@cqu.edu.cn;3. Department of Statistics and Actuarial Science, Chongqing University, Chongqing, China |
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Abstract: | AbstractIn this article, when it is suspected that regression coefficients may be restricted to a subspace, we discuss the parameter estimation of regression coefficients in a multiple regression model. Then, in order to improve the preliminary test almost ridge estimator, we study the positive-rule Stein-type almost unbiased ridge estimator based on the positive-rule stein-type shrinkage estimator and almost unbiased ridge estimator. After that, quadratic bias and quadratic risk values of the new estimator are derived and compared with some relative estimators. And we also discuss the option of parameter k. Finally, we perform a real data example and a Monte Carlo study to illustrate theoretical results. |
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Keywords: | Positive-rule Stein-type almost unbiased ridge estimator Almost unbiased ridge estimator Preliminary test almost ridge estimator Quadratic bias quadratic risk |
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