Generalized ridge shrinkage estimation in restricted linear model

Feng Qian, Rong Chen and Ling Wang ()
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Feng Qian: Changzhou Institute of Technology
Rong Chen: Beijing University of Technology
Ling Wang: Nanjing Vocational University of Industry Technology

Computational Statistics, 2024, vol. 39, issue 3, No 13, 1403-1416

Abstract: Abstract 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.

Keywords: Multicollinearity; Restricted least squares; Mean square error criterion; Pitman closeness criterion; Restricted generalized ridge shrinkage estimator (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00180-023-01357-1

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