A Stochastic Restricted Principal Components Regression Estimator in the Linear Model

Autor: Daojiang He, Yan Wu
Jazyk: angličtina
Rok vydání: 2014
Předmět:
Zdroj: The Scientific World Journal, Vol 2014 (2014)
Druh dokumentu: article
ISSN: 2356-6140
1537-744X
DOI: 10.1155/2014/231506
Popis: We propose a new estimator to combat the multicollinearity in the linear model when there are stochastic linear restrictions on the regression coefficients. The new estimator is constructed by combining the ordinary mixed estimator (OME) and the principal components regression (PCR) estimator, which is called the stochastic restricted principal components (SRPC) regression estimator. Necessary and sufficient conditions for the superiority of the SRPC estimator over the OME and the PCR estimator are derived in the sense of the mean squared error matrix criterion. Finally, we give a numerical example and a Monte Carlo study to illustrate the performance of the proposed estimator.
Databáze: Directory of Open Access Journals
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