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.
Mots clés : heteroscedasticity, generalized least squares estimator, stochastic restricted Liu estimator
@article{PS_2011__15__30_0,
author = {Alheety, Mustafa Ismaeel},
title = {A new stochastic restricted biased estimator under heteroscedastic or correlated error},
journal = {ESAIM: Probability and Statistics},
pages = {30--40},
publisher = {EDP-Sciences},
volume = {15},
year = {2011},
doi = {10.1051/ps/2009009},
mrnumber = {2793048},
language = {en},
url = {http://www.numdam.org/articles/10.1051/ps/2009009/}
}
TY - JOUR AU - Alheety, Mustafa Ismaeel TI - A new stochastic restricted biased estimator under heteroscedastic or correlated error JO - ESAIM: Probability and Statistics PY - 2011 SP - 30 EP - 40 VL - 15 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ps/2009009/ DO - 10.1051/ps/2009009 LA - en ID - PS_2011__15__30_0 ER -
%0 Journal Article %A Alheety, Mustafa Ismaeel %T A new stochastic restricted biased estimator under heteroscedastic or correlated error %J ESAIM: Probability and Statistics %D 2011 %P 30-40 %V 15 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/ps/2009009/ %R 10.1051/ps/2009009 %G en %F PS_2011__15__30_0
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. http://www.numdam.org/articles/10.1051/ps/2009009/
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