In this paper, we derive the density and distribution functions of the estimator of the shrinkage parameters of the Liu and generalized Liu estimators associated with the normal linear regression model. We indicate how these distributions can be used in arriving at a confidence interval for the optimal value of the shrinkage parameter. Since the distributions are difficult to handle, we have carried out some numerical computations to illustrate them.
Publié le : 2009-06-15
Classification:
Density function,
distribution function,
least squares estimator,
Liu estimator,
multicollinearity,
shrinkage parameters
@article{1245351239,
author = {Alheety, M. I. and Ramanathan, T. V. and Gore, S. D.},
title = {On the distribution of shrinkage parameters of Liu-type estimators},
journal = {Braz. J. Probab. Stat.},
volume = {23},
number = {1},
year = {2009},
pages = { 57-67},
language = {en},
url = {http://dml.mathdoc.fr/item/1245351239}
}
Alheety, M. I.; Ramanathan, T. V.; Gore, S. D. On the distribution of shrinkage parameters of Liu-type estimators. Braz. J. Probab. Stat., Tome 23 (2009) no. 1, pp. 57-67. http://gdmltest.u-ga.fr/item/1245351239/