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r-k Class estimation in regression model with concomitant variables

  • Regression
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Abstract

We treat with the r-k class estimation in a regression model, which includes the ordinary least squares estimator, the ordinary ridge regression estimator and the principal component regression estimator as special cases of the r-k class estimator. Many papers compared total mean square error of these estimators. Sarkar (1989, Ann. Inst. Statist. Math., 41, 717–724) asserts that the results of this comparison are still valid in a misspecified linear model. We point out some confusions of Sarkar and show additional conditions under which his assertion holds.

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Authors and Affiliations

  1. School of Business Administration, Kwansei Gakuin University, 1-155, Uegaharaichiban-cho, 662, Nishinomiya, Hyogo, Japan

    Masayuki Jimichi

  2. Department of Mathematical Science, Faculty of Engineering Science, Osaka University, Machikaneyama-cho, 560, Toyonaka, Osaka, Japan

    Nobuo Inagaki

Authors
  1. Masayuki Jimichi
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  2. Nobuo Inagaki
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Jimichi, M., Inagaki, N. r-k Class estimation in regression model with concomitant variables. Ann Inst Stat Math 48, 89–95 (1996). https://doi.org/10.1007/BF00049291

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  • DOI: https://doi.org/10.1007/BF00049291

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