Relative squared error prediction in the generalized linear regression model |
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Authors: | Bernhard F Arnold Peter Stahlecker |
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Institution: | 1.Institut für Statistik und ?konometrie,Universit?t Hamburg,Hamburg,Germany |
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Abstract: | In linear regression models, predictors based on least squares or on generalized least squares estimators are usually applied
which, however, fail in case of multicollinearity. As an alternative biased estimators like ridge estimators, Kuks-Olman estimators,
Bayes or minimax estimators are sometimes suggested. In our analysis the relative instead of the generally used absolute squared
error enters the objective function. An explicit minimax solution is derived which, in an important special case, can be viewed
as a predictor based on a Kuks-Olman estimator. |
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Keywords: | Kuks-Olman Estimator Linear Affine Predictor Linear Regression Minimax Principle Ridge Regression |
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