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Superiority of the r-d class estimator over some estimators by the mean square error matrix criterion

M. Revan Özkale - No affiliation found

2007/02/15 Short communication DOI: 10.1016/j.spl.2006.08.012 Journal: Statistics & Probability Letters

Abstract:

AbstractKaçıranlar, and Sakallıoğlu, [2001. Combining the Liu estimator and the principal component regression estimator. Comm. Statist. Theory Methods 30, 2699–2705] introduced the r-d class estimator which is a general estimator of the ordinary least squares (OLS), the principal components regression (PCR) and the Liu estimators. In this paper, we derive conditions for the superiority of the r-d class estimator over each of these estimators and the r-k class estimator by the matrix mean square error (MMSE) criterion. Also, we suggest tests to verify if these conditions are indeed satisfied.