| 包含多余回归变量的错误指定模型的随机约束Liu估计 |
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| 引用本文： | 徐建文,杨虎.包含多余回归变量的错误指定模型的随机约束Liu估计[J].应用概率统计,2012,28(2):123-133. |
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| 作者姓名： | 徐建文 杨虎 |
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| 作者单位： | 重庆大学数学与统计学院,重庆,401331 |
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| 基金项目： | supported by National Natural Science Foundation of China(11001286);Natural Science Foundation Project of CQ CSTC(2009BB6189) |
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| 摘 要： | 对由于包含多余回归自变量而导致的错误指定线性回归模型,本文导出了回归系数的最小二乘估计,普通混合估计以及随机约束Liu估计,并在均方误差矩阵准则下对这三个估计的优良性进行了比较,给出了随机约束Liu估计优于最小二乘估计和普通混合估计的充要条件.此外,对它们所对应的经典预测值的优良性也进行了讨论.
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| 关 键 词： | 错误指定线性模型 随机约束 随机约束Liu估计 均方误差矩阵 |
On the Stochastic Restricted Liu Estimator under Misspecification due to Inclusion of Some Superfluous Variables |
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| XU JIANWEN
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YANG HU.On the Stochastic Restricted Liu Estimator under Misspecification due to Inclusion of Some Superfluous Variables[J].Chinese Journal of Applied Probability and Statisties,2012,28(2):123-133. |
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| Authors: | XU JIANWEN YANG HU |
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| Institution: | College of Mathematics and Statistics, Chongqing University |
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| Abstract: | In this paper,we firstly derived the expressions of the well-known ordinary least square estimator(OLSE),the ordinary mixed estimator(OME)introduced by Theil and Golberger(1961)and the stochastic restricted Liu estimator(SRLE)proposed by Yang and Xu(2007)under misspecification due to inclusion of some superfluous variables.Then,performances of these estimators under misspecification are examined.In particular,necessary and sufficient conditions for the superiority of the SRLE over the OLSE and OME with respect to the mean squared error matrix(MSEM) criterion are derived.Furthermore,superiority of the corresponding predictors of these estimators are also investigated. |
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| Keywords: | Misspecified linear model stochastic restrictions stochastic restricted Liu estimator mean squared error matrix |
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