# A new stochastic restricted biased estimator under heteroscedastic or correlated error

ESAIM: Probability and Statistics (2011)

- Volume: 15, page 30-40
- ISSN: 1292-8100

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topAlheety, Mustafa Ismaeel. "A new stochastic restricted biased estimator under heteroscedastic or correlated error." ESAIM: Probability and Statistics 15 (2011): 30-40. <http://eudml.org/doc/197728>.

@article{Alheety2011,

abstract = {
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. Papers50 (2007) 639–647] are examined in terms of matrix mean square error criterion. A numerical example is considered to illustrate the theoretical results.},

author = {Alheety, Mustafa Ismaeel},

journal = {ESAIM: Probability and Statistics},

keywords = {Heteroscedasticity; generalized least squares estimator; stochastic restricted Liu estimator; heteroscedasticity},

language = {eng},

month = {2},

pages = {30-40},

publisher = {EDP Sciences},

title = {A new stochastic restricted biased estimator under heteroscedastic or correlated error},

url = {http://eudml.org/doc/197728},

volume = {15},

year = {2011},

}

TY - JOUR

AU - Alheety, Mustafa Ismaeel

TI - A new stochastic restricted biased estimator under heteroscedastic or correlated error

JO - ESAIM: Probability and Statistics

DA - 2011/2//

PB - EDP Sciences

VL - 15

SP - 30

EP - 40

AB -
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. Papers50 (2007) 639–647] are examined in terms of matrix mean square error criterion. A numerical example is considered to illustrate the theoretical results.

LA - eng

KW - Heteroscedasticity; generalized least squares estimator; stochastic restricted Liu estimator; heteroscedasticity

UR - http://eudml.org/doc/197728

ER -

## References

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