Generalized ridge shrinkage estimation in restricted linear model
Computational Statistics(2023)
摘要
In the case of multicollinearity, biased estimators are always introduced to correct the least squares estimator. In this paper, we propose a new biased estimator for the restricted linear model. The properties of the new estimator and its superiority over the restricted least squares estimator in terms of the mean square error and Pitman closeness criterion are theoretically analysed. Furthermore, we optimize and verify the feasibility of the new estimator using a numerical simulation.
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关键词
Multicollinearity,Restricted least squares,Mean square error criterion,Pitman closeness criterion,Restricted generalized ridge shrinkage estimator
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