A new class of blased estimate in linear regression
- 1 January 1993
- journal article
- research article
- Published by Taylor & Francis Ltd in Communications in Statistics - Theory and Methods
- Vol. 22 (2), 393-402
- https://doi.org/10.1080/03610929308831027
Abstract
Consider the linear regression model , Eε=0 and . Motivated by an interpretation of ridge estimate , we propose a new class of biased estimate to combat multicollinearity, where 0<d<l is a parameter and is the least squares estimate. combines the advantages of and Stein estimate . Theory and simulation results show that has the similar good property as . The advantage of over is that is a linear function of d. So the selection of d is simple.Keywords
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