Abstract
In the case of multicollinearity, biased estimators are always introduced to correct the least squares estimator. In this paper, we propose a new biased estimator for the restricted linear model. The properties of the new estimator and its superiority over the restricted least squares estimator in terms of the mean square error and Pitman closeness criterion are theoretically analysed. Furthermore, we optimize and verify the feasibility of the new estimator using a numerical simulation.
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Acknowledgements
The work was supported by the National Natural Science Foundation of China (Grant No. 61807006) and Start-up Fund for New Talented Researchers of Nanjing Vocational University of Industry Technology (Grant No. YK21-12-03). We thank LetPub (www.letpub.com) for linguistic assistance and pre-submission expert review. And, we thank the referee for so detailed comments.
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Qian, F., Chen, R. & Wang, L. Generalized ridge shrinkage estimation in restricted linear model. Comput Stat 39, 1403–1416 (2024). https://doi.org/10.1007/s00180-023-01357-1
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DOI: https://doi.org/10.1007/s00180-023-01357-1