Abstract.
The preliminary test ridge regression estimators (P T R R E) based on the Wald (W), Likelihood Ratio (L R) and Lagrangian Multiplier (L M) tests for estimating the regression parameters has been considered in this paper. Here we consider the multiple regression model with student t error distribution. The bias and the mean square errors (M S E) of the proposed estimators are derived under both null and alternative hypothesis. By studying the M S E criterion, the regions of optimality of the estimators are determined. Under the null hypothesis, the P T R R E based on L M test has the smallest risk followed by the estimators based on L R and W tests. However, the P T R R E based on W test performs the best followed by the L R and L M based estimators when the parameter moves away from the subspace of the restrictions. The conditions of superiority of the proposed estimators for both shrinkage parameter, k and the departure parameter, Δ are provided. Some tables for the maximum and minimum guaranteed efficiency of the proposed estimators have been given, which allows us to determine the optimum level of significance corresponding to the optimum estimator. Finally, we conclude that the estimator based on Wald test dominates the other two estimators in the sense of having highest minimum guaranteed efficiency.
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Acknowledgments.
We thanks the referees for their careful reading of the manuscript and valuable comments that led to improvements in the presentation of the paper greatly. We also thanks the Editor, Professor U. Gather for his time on processing this paper. The first author is thankful to the College of Arts and Sciences of Florida International University for providing him some research facilities. Research of the second author is supported by Natural Sciences and Engineering Research Council of Canada.
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Kibria, B., Saleh, A. Preliminary test ridge regression estimators with student’s t errors and conflicting test-statistics. Metrika 59, 105–124 (2004). https://doi.org/10.1007/s001840300273
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DOI: https://doi.org/10.1007/s001840300273
Key words and phrases
- Dominance
- Lagrangian Multiplier
- Likelihood Ratio Test
- MSE
- Ridge Regression
- Students t
- Superiority
- Wald Test