On a principal component two-parameter estimator in linear model with autocorrelated errors
| العنوان: | On a principal component two-parameter estimator in linear model with autocorrelated errors |
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| المؤلفون: | Jiewu Huang, Hu Yang |
| المصدر: | Statistical Papers. 56:217-230 |
| بيانات النشر: | Springer Science and Business Media LLC, 2013. |
| سنة النشر: | 2013 |
| مصطلحات موضوعية: | Statistics and Probability, Efficient estimator, Minimum-variance unbiased estimator, Mean squared error, Bias of an estimator, Statistics, Consistent estimator, Estimator, Trimmed estimator, Statistics, Probability and Uncertainty, Invariant estimator, Mathematics |
| الوصف: | This paper is concerned with autocorrelation in errors and multicollinearity among the regressors in linear regression model. To reduce these effects of autocorrelation and multicollinearity, we generalize a principal component two-parameter (PCTP) estimator in the linear regression model with correlated or heteroscedastic errors. Then we give detailed comparisons between those estimators that can be derived from the PCTP estimator such as the generalized least squares estimator, the principal components regression estimator, the $$r-k$$ estimator and the $$r-d$$ estimator by the mean squared error (MSE) matrix criterion. Also, we obtain the conditions for the superiority of one estimator over the other. Furthermore, we conduct a Monte Carlo simulation study to compare these estimators under the MSE criterion. |
| تدمد: | 1613-9798 0932-5026 |
| الوصول الحر: | https://explore.openaire.eu/search/publication?articleId=doi_________::21b7cf2ea0d2b2790f1de1ba1e64cbabTest https://doi.org/10.1007/s00362-013-0576-0Test |
| حقوق: | CLOSED |
| رقم الانضمام: | edsair.doi...........21b7cf2ea0d2b2790f1de1ba1e64cbab |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 16139798 09325026 |
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