Geodesic
A new stochastic restricted biased estimator under heteroscedastic or correlated error
ESAIM: Probability and Statistics, Tome 15 (2011), pp. 30-40

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In this paper, under the linear regression model with heteroscedastic and/or correlated errors when the stochastic linear restrictions on the parameter vector are assumed to be held, a generalization of the ordinary mixed estimator (GOME), ordinary ridge regression estimator (GORR) and Generalized least squares estimator (GLSE) is proposed. The performance of this new estimator against GOME, GORR, GLS and the stochastic restricted Liu estimator (SRLE) [Yang and Xu, Statist. Papers 50 (2007) 639-647] are examined in terms of matrix mean square error criterion. A numerical example is considered to illustrate the theoretical results.

DOI : 10.1051/ps/2009009
Classification : 62J05, 62J07
Keywords: heteroscedasticity, generalized least squares estimator, stochastic restricted Liu estimator 
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     author = {Alheety, Mustafa Ismaeel},
     title = {A new stochastic restricted biased estimator under heteroscedastic or correlated error},
     journal = {ESAIM: Probability and Statistics},
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     language = {en},
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Alheety, Mustafa Ismaeel. A new stochastic restricted biased estimator under heteroscedastic or correlated error. ESAIM: Probability and Statistics, Tome 15 (2011), pp. 30-40. doi: 10.1051/ps/2009009

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