Far East Journal of Theoretical Statistics
Volume 4, Issue 2, Pages 383 - 390
(December 2000)
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SEQUENTIAL
LIU ESTIMATOR
Sadullah Sakallio Glu (Turkey) and Fikri Akdeniz (Turkey)
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Abstract: In this paper, we have given a sequential algorithm
for computing Liu estimator. This algorithm is based
on Greville’s method [SIAM Review 2(1) (1960),
15-22] for computing the Moore-Penrose (M-P) inverse
of a matrix. The derivation of this result is trivial.
However, since no matrix inversions are needed for its
implementation, this algorithm is of practical
importance. We illustrate this result with a numerical
example. |
Keywords and phrases: least squares estimator, Liu
estimator, mean squared error, multicollinearity. |
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