The weighted ridge estimator in stochastic restricted linear measurement error models

F. Ghapani (), A. R. Rasekh and B. Babadi
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F. Ghapani: Shoushtar Branch, Islamic Azad University
A. R. Rasekh: Shahid Chamran University of Ahvaz
B. Babadi: Shahid Chamran University of Ahvaz

Statistical Papers, 2018, vol. 59, issue 2, No 13, 709-723

Abstract: Abstract In this paper, we introduce the mixed ridge estimator (MRE) in linear measurement error models with stochastic linear restrictions and present the method of weighted mixed ridge estimation, which permits to assign possibly unequal weights to the prior information in relation to the sample information. The performance of the weighted mixed ridge estimator (WMRE) against the weighted mixed estimator (WME) is examined in terms of the mean squared error matrix (MSEM) of estimators. Finally, a simulation study and a numerical example are also given to show the theoretical results.

Keywords: Mean squared error matrix; Mixed ridge estimator; Ridge estimator; Weighted mixed estimator; Weighted mixed ridge estimator (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s00362-016-0786-3

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