Performance of some new preliminary test ridge regression estimators and their properties Article

Saleh, AKME, Kibria, BMG. (1993). Performance of some new preliminary test ridge regression estimators and their properties . COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 22(10), 2747-2764. 10.1080/03610929308831183

cited authors

  • Saleh, AKME; Kibria, BMG

authors

abstract

  • The problem of estimation of the regression coefficients in a multiple regression model is considered under multicollinearity situation when it is suspected that the regression coefficients may be restricted to a subspace. We present the estimators of the regression coefficients combining the idea of preliminary test and ridge regression methodology. Accordingly, wc con-sider three estimators, namely, the unrestricted ridge regression estimator (URRE), the restricted ridge regression estimator (RRRE), and finally, the preliminary test ridge regression estimator (PTRRE). The biases, variance-matrices and mean square errors (mse) of the estimators are derived and compared with the usual estimators. Regions of optimality of the estimators are determined by studying the mse criterion. The conditions of superiority of the estimators over the traditional estimators as in Saleh and Han (1990) and Ali and Saleh (1991) have also been discussed. © 1993, Taylor & Francis Group, LLC. All rights reserved.

publication date

  • January 1, 1993

published in

Digital Object Identifier (DOI)

start page

  • 2747

end page

  • 2764

volume

  • 22

issue

  • 10