Performance of the stein-type two-parameter estimator in multiple linear regression model

Xinfeng Chang and Jibo Wu

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 8, 1935-1952

Abstract: In this article, we consider the Stein-type approach to the estimation of the regression parameter in a multiple regression model under a multicollinearity situation. The Stein-type two-parameter estimator is proposed when it is suspected that the regression parameter may be restricted to a subspace. The bias and the quadratic risk of the proposed estimator are derived and compared with the two-parameter estimator (TPE), the restricted TPE and the preliminary test TPE. The conditions of superiority of the proposed estimator are obtained. Finally, a real data example is provided to illustrate some of the theoretical results.

Date: 2018
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DOI: 10.1080/03610926.2017.1332220

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