Superiority of the r-k class estimator over some estimators in a misspecified linear model

ABSTRACT

In this article, we discuss the superiority of r-k class estimator over some estimators in a misspecified linear model. We derive the necessary and sufficient conditions for the superiority of the r-k class estimator over each of these estimators under the Mahalanobis loss function by the average loss criterion in the misspecified linear model.

KEYWORDS:

• r-k class estimator
• Mahalanobis loss function
• Misspecified linear model
• Multicollinearity

MATHEMATICS SUBJECT CLASSIFICATION:

• 62J05
• 62J07

Acknowledgments

The authors are most grateful to the anonymous reviewer and the Editor for valuable comments and suggestions that helped to improve the quality of the article.

Additional information

Funding

This research was supported by the Natural Science Foundation Project of CQ CSTC (grant no. cstc2015jcyjA00001), the Scientific and Technological Research Program of Chongqing Municipal Education Commission 7 (grant no. KJ1501114), and the Natural Science Foundation of Yongchuan (China) (grant no. Ycstc2014Nc8001).