测量误差数据下线性模型的几乎无偏岭估计

文章讨论带测量误差的线性模型中参数估计的问题.当带测量误差的线性模型存在复共线的时候,通过几乎无偏估计的思想,提出了几乎无偏岭估计,并对估计的性质进行分析.通过研究发现几乎无偏岭估计不但能克服复共线性,同时有比较小的均方误差.

An Almost Unbiased Ridge Estimator in Linear Regression Model with Measurement Error

We considered parameter estimation in the linear model with measurement error. When linear model with measurement error exists multicollinearity, based on the idea of almost unbiased estimation, we proposed the almost unbiased ridge estimator in a linear model with measurement error. The property of the new estimator was also discussed. By studying, we find that the new estimator not only can overcome multcollinearity but also has small mean squared error.