A minimum matrix valued risk estimator combining restricted and ordinary least squares estimators

Buatikan Mirezi, Selahattin Kaçıranlar and Nimet Özbay

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 5, 1580-1590

Abstract: In this article, attention is focused on the convex combination estimator, β¯=Aβ̂+(I−A)β̂R. We have proved that the matrix valued risk of the new convex matrix estimator cannot exceed the individual matrix valued risk of β̂ and β̂R.

Date: 2023
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DOI: 10.1080/03610926.2021.1934032

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