The generalized preliminary test estimator when different sets of stochastic restrictions are available

The generalized preliminary test estimator when different sets of stochastic restrictions are... Arumairajan and Wijekoon (Commun Stat—Theor Methods, in press, 2014) proposed a generalized preliminary test stochastic restricted estimator (GPTSRE) to represent the preliminary test estimators when stochastic restrictions are available in addition to sample model. The aim of this paper is to define the GPTSRE when two different sets of competing stochastic restrictions are available. Moreover the conditions for superiority of GPTSRE based on one stochastic restriction over the other are derived with respect to mean square error (MSE) matrix criterion. Furthermore the estimator GPTSRE is theoretically compared with almost unbiased ridge estimator and almost unbiased Liu estimator in the MSE matrix sense. Finally a Monte Carlo simulation study and numerical example are done to illustrate the theoretical findings. Statistical Papers Springer Journals

The generalized preliminary test estimator when different sets of stochastic restrictions are available

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Springer Berlin Heidelberg
Copyright © 2015 by Springer-Verlag Berlin Heidelberg
Statistics; Statistics for Business/Economics/Mathematical Finance/Insurance; Probability Theory and Stochastic Processes; Economic Theory/Quantitative Economics/Mathematical Methods; Operations Research/Decision Theory
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