Evaluation of the predictive performance of the Liu type estimator

ABSTRACT

This article discusses the predictive performance of the Liu type (LT) estimator compared to ordinary least squares, principal components, ridge regression, and Liu estimators. The theoretical results are illustrated by a numerical example and a region is established where the LT estimator is uniformly superior to the other mentioned estimators.

KEYWORDS:

• Biased estimation
• Liu type estimator
• Multicollinearity
• Prediction mean square error

MATHEMATICAL SUBJECT CLASSIFICATION:

• 62J05
• 62J07