zbMATH — the first resource for mathematics

Improvement of the Liu estimator in linear regression model. (English) Zbl 1125.62055
Summary: In the presence of stochastic prior information, in addition to the sample, H. Thiel and A. S. Goldberger [Int. Econ. Rev. 2, 65–77 (1961)] introduced a mixed estimator \(\widehat{\beta}\) for the parameter vector \(\beta\) in the standard multiple linear regression model \((Y,X\beta,\sigma^2 I)\). Recently, the Liu estimator which is an alternative biased estimator for \(\beta\) has been proposed by K. Liu [Commun. Stat., Theory Methods 22, No. 2, 393–402 (1993; Zbl 0784.62065)].
We introduce another new Liu type biased estimator, called stochastic restricted Liu estimator, \(\widehat{\beta}_{srd}\) for \(\beta\), and discuss its efficiency. Necessary and sufficient conditions for the mean squared error matrix of the stochastic restricted Liu estimator \(\widehat{\beta}_{srd}\) to exceed the mean squared error matrix of the mixed estimator \(\widehat{\beta}_m\) will be derived for the two cases in which the parametric restrictions are correct and are not correct. In particular we show that this new biased estimator is superior in the mean squared error matrix sense to both the mixed estimator \(\widehat{\beta}_m\) and to the biased estimator introduced by Liu.

62H12 Estimation in multivariate analysis
62J05 Linear regression; mixed models
Full Text: DOI
[1] Akdeniz, F. and Kaçiranlar, S. (2001) More on the new biased estimator in linear regression. Sankhya: The Indian Journal of Statistics, 63B, 321–325. · Zbl 1192.62167
[2] Baksalary, J. K. and Trenkler, G. (1991) Nonnegative and positive definiteness of matrices modified by two matrices of rank one, Linear algebra and its Applications, 151, 169–184. · Zbl 0728.15011
[3] Liu, K. (1993) A new class of biased estimate in linear regression. Communication in Statistics–Theory and Methods, 22(2), 393–402. · Zbl 0784.62065
[4] Rao, C.R. and Toutenburg, H. (1995) Linear models, Least squares and Alternatives. Springer Verlag. · Zbl 0846.62049
[5] Kaçiranlar, S., Sakallioğlu, S., Akdeniz, F., Styan, G.P.H. and Werner, H.J. (1999) A new biased estimator in linear regression and a detailed analysis of the widely analyzed dataset on Portland Cement. Sankhya: The Indian Journal of Statistics. 61B, 443–459.
[6] Thiel, H. and Goldberger, A.S. (1961) On pure and Mixed estimation in Economics. International Economic review, 2, 65–77.
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.