Brazilian Journal of Probability and Statistics

On the distribution of shrinkage parameters of Liu-type estimators

M. I. Alheety, T. V. Ramanathan, and S. D. Gore

Full-text: Open access

Abstract

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.

Article information

Source
Braz. J. Probab. Stat., Volume 23, Number 1 (2009), 57-67.

Dates
First available in Project Euclid: 18 June 2009

Permanent link to this document
https://projecteuclid.org/euclid.bjps/1245351239

Digital Object Identifier
doi:10.1214/08-BJPS005

Mathematical Reviews number (MathSciNet)
MR2575423

Zentralblatt MATH identifier
1298.62119

Keywords
Density function distribution function least squares estimator Liu estimator multicollinearity shrinkage parameters

Citation

Alheety, M. I.; Ramanathan, T. V.; Gore, S. D. On the distribution of shrinkage parameters of Liu-type estimators. Braz. J. Probab. Stat. 23 (2009), no. 1, 57--67. doi:10.1214/08-BJPS005. https://projecteuclid.org/euclid.bjps/1245351239


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