A NEW RESTRICTED ESTIMATOR IN MULTIPLE LINEAR REGRESSION MODEL

M. I. Alheety (India) and S. D. Gore (India)

Received June 10, 2007; Revised July 25, 2007

References:

[1] Jurgen Grob, Linear Regression, Springer, 2003. [2] A. E. Hoerl and R. W. Kennard, Ridge regression: Biased estimation for non-orthogonal problem, Technometrics 12 (1970a), 55-67. [3] A. E. Hoerl and R. W. Kennard, Ridge regression: Application for non-orthogonal problems, Technometrics 12 (1970b), 69-82. [4] A. E. Hoerl, R. W. Kennard and K. F. Baldwin, Ridge regression: Some simulations, Comm. Statist. 4 (1975), 105-123. [5] L. Kejian, A new class of biased estimate in linear regression, Comm. Statist. Theory Methods 22 (1993), 393-402. [6] Nityananda Sarkar, A new estimator combining the ridge regression and the restricted least squares methods of estimation, Comm. Statist. Theory Methods 21 (1992), 1987-2000. [7] C. Stein, Inadmissibility of the usual estimator for the mean of a multivariate normal distribution, Proceedings of the Third Berkeley Symposium on Mathematics, Statistics and Probability, University of California Press, Berkeley, 1956, pp. 197-206.

Keywords and phrases: restricted least squares estimator, multicollinearity, Liu estimator, mean squared error, restricted maximum likelihood Liu estimator.