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Two stochastic restricted principal components regression estimator in linear regression. (English) Zbl 1462.62449

Summary: In this article, we propose two stochastic restricted principal components regression estimator by combining the approach followed in obtaining the ordinary mixed estimator and the principal components regression estimator in linear regression model. The performance of the two new estimators in terms of matrix MSE criterion is studied. We also give an example and a Monte Carlo simulation to show the theoretical results.

MSC:

62J07 Ridge regression; shrinkage estimators (Lasso)
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