Two Stochastic Restricted Principal Components Regression Estimator in Linear Regression |
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| Authors: | Jibo Wu Hu Yang |
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| Affiliation: | 1. College of Mathematics and Statistics , Chongqing University , Chongqing , China linfen52@126.com;3. College of Mathematics and Statistics , Chongqing University , Chongqing , China |
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| Abstract: | In this article, we propose two stochastic restricted principal components regression estimator by combining the approach followed in obtaining the ordinary mixed estimator and the principal components regression estimator in linear regression model. The performance of the two new estimators in terms of matrix MSE criterion is studied. We also give an example and a Monte Carlo simulation to show the theoretical results. |
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| Keywords: | Multicollinearity Ordinary least squares estimator Ordinary mixed estimator Principal components regression estimator |
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