Linearized Ridge Regression Estimator Under the Mean Squared Error Criterion in a Linear Regression Model |
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Authors: | Feng Gao |
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Institution: | Faculty of Mathematics and Physics , Huaiyin Institute of Technology , Huai'an , P.R. China |
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Abstract: | This article mainly aims to study the superiority of the notion of linearized ridge regression estimator (LRRE) under the mean squared error criterion in a linear regression model. Firstly, we derive uniform lower bound of MSE for the class of the generalized shrinkage estimator (GSE), based on which it is shown that the optimal LRRE is the best estimator in the class of GSE's. Secondly, we propose the notion of the almost unbiased completeness and show that LRRE possesses such a property. Thirdly, the simulation study is given, from which it indicates that the LRRE performs desirably. Finally, the main results are applied to the well known Hald data. |
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Keywords: | Almost unbiased completeness GSE Linear regression model Linearized ridge regression estimator LRRE Multicollinearity |
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