| Generalized Ridge and Principal Correlation Estimator of the Regression Parameters and Its Optimality |
| Received:May 28, 2007 Revised:March 10, 2009 |
| Key Words:
linear regression model generalized ridge and principal correlation estimator mean squares error Pitman closeness criterion.
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| Fund Project:the National Natural Science Foundation of China (Nos.60736047; 10671007; 60772036); the Foundation of Beijing Jiaotong University (Nos.2006XM037; 2007XM046). |
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| Abstract: |
| In this paper, we propose a new biased estimator of the regression parameters, the generalized ridge and principal correlation estimator. We present its some properties and prove that it is superior to LSE (least squares estimator), principal correlation estimator, ridge and principal correlation estimator under MSE (mean squares error) and PMC (Pitman closeness) criterion, respectively. |
| Citation: |
| DOI:10.3770/j.issn:1000-341X.2009.05.014 |
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