Rank-based Liu regression

Mohammad Arashi, Mina Norouzirad, S. Ejaz Ahmed and Bahadır Yüzbaşı ()
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Mohammad Arashi: Shahrood University of Technology
Mina Norouzirad: Shahrood University of Technology
S. Ejaz Ahmed: University of Brock
Bahadır Yüzbaşı: University of Inonu

Computational Statistics, 2018, vol. 33, issue 3, No 20, 1525-1561

Abstract: Abstract Due to the complicated mathematical and nonlinear nature of ridge regression estimator, Liu (Linear-Unified) estimator has been received much attention as a useful method to overcome the weakness of the least square estimator, in the presence of multicollinearity. In situations where in the linear model, errors are far away from normal or the data contain some outliers, the construction of Liu estimator can be revisited using a rank-based score test, in the line of robust regression. In this paper, we define the Liu-type rank-based and restricted Liu-type rank-based estimators when a sub-space restriction on the parameter of interest holds. Accordingly, some improved estimators are defined and their asymptotic distributional properties are investigated. The conditions of superiority of the proposed estimators for the biasing parameter are given. Some numerical computations support the findings of the paper.

Keywords: Liu estimator; Multicollinearity; Preliminary test; Rank-based estimator; Ridge regression; Shrinkage estimator (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s00180-018-0809-8

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