Loading…
An Improved Estimation in Regression Parameter Matrix in Multivariate Regression Model
We consider shrinkage and preliminary test estimation strategies for the matrix of regression parameters in multivariate multiple regression model in the presence of a natural linear constraint. We suggest a shrinkage and preliminary test estimation strategies for the parameter matrix. The goal of t...
Saved in:
Published in: | Communications in statistics. Theory and methods 2012-07, Vol.41 (13-14), p.2305-2320 |
---|---|
Main Authors: | , |
Format: | Article |
Language: | English |
Subjects: | |
Citations: | Items that this one cites Items that cite this one |
Online Access: | Get full text |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Summary: | We consider shrinkage and preliminary test estimation strategies for the matrix of regression parameters in multivariate multiple regression model in the presence of a natural linear constraint. We suggest a shrinkage and preliminary test estimation strategies for the parameter matrix. The goal of this article is to critically examine the relative performances of these estimators in the direction of the subspace and candidate subspace restricted type estimators. Our analytical and numerical results show that the proposed shrinkage and preliminary test estimators perform better than the benchmark estimator under candidate subspace and beyond. The methods are also applied on a real data set for illustrative purposes. |
---|---|
ISSN: | 0361-0926 1532-415X |
DOI: | 10.1080/03610926.2012.664672 |