The generalized preliminary test estimator when different sets of stochastic restrictions are available

Sivarajah Arumairajan () and Pushpakanthie Wijekoon
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Sivarajah Arumairajan: University of Peradeniya
Pushpakanthie Wijekoon: University of Peradeniya

Statistical Papers, 2017, vol. 58, issue 3, No 10, 729-747

Abstract: Abstract Arumairajan and Wijekoon (Commun Stat—Theor Methods, in press, 2014) proposed a generalized preliminary test stochastic restricted estimator (GPTSRE) to represent the preliminary test estimators when stochastic restrictions are available in addition to sample model. The aim of this paper is to define the GPTSRE when two different sets of competing stochastic restrictions are available. Moreover the conditions for superiority of GPTSRE based on one stochastic restriction over the other are derived with respect to mean square error (MSE) matrix criterion. Furthermore the estimator GPTSRE is theoretically compared with almost unbiased ridge estimator and almost unbiased Liu estimator in the MSE matrix sense. Finally a Monte Carlo simulation study and numerical example are done to illustrate the theoretical findings.

Keywords: Stochastic restrictions; Generalized preliminary test stochastic restricted estimator; Mean square error matrix; Primary 62J07; Secondary 62F03 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s00362-015-0723-x

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