The modified Liu-ridge-type estimator: a new class of biased estimators to address multicollinearity

Abstract

This article proposes another general class of biased estimators which includes some popular estimators as special cases and discusses its properties for multiple linear regression models with the issue of multicollinearity. We proposed the estimator by modifying the Liu estimator (LE) with the use of the existing modified ridge-type estimator and provide its properties. Performance of the proposed estimator is compared with many of the leading estimators, using the mean squared error (MSE) matrix criterion. We conducted an extensive simulation study to illustrate the superiority of the proposed estimator.

Keywords:

• Liu estimator
• Mean squared error matrix
• Multicollinearity
• Ridge-type estimator
• Two parameter estimator

MATHEMATICS SUBJECT CLASSIFICATION:

• 62J05
• 62J07