Performance of the stein-type two-parameter estimator in multiple linear regression model |
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Authors: | Xinfeng Chang Jibo Wu |
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Affiliation: | 1. Department of statistics, Jiangsu University, Zhenjiang, China;2. School of Mathematics and Finances, Chongqing University of Arts and Sciences, Chongqing, China |
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Abstract: | In this article, we consider the Stein-type approach to the estimation of the regression parameter in a multiple regression model under a multicollinearity situation. The Stein-type two-parameter estimator is proposed when it is suspected that the regression parameter may be restricted to a subspace. The bias and the quadratic risk of the proposed estimator are derived and compared with the two-parameter estimator (TPE), the restricted TPE and the preliminary test TPE. The conditions of superiority of the proposed estimator are obtained. Finally, a real data example is provided to illustrate some of the theoretical results. |
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Keywords: | Preliminary test estimator Quadratic risk Stein-type estimator Two-parameter estimator. |
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