A discrete shrinking method as alternative to least squares

A discrete shrinking method as alternative to least squares

F or the classical iinear regression problem , a num ber of estim ators alternative to least squares have been proposed for situations in w hich m ulticollinearity is a problem . This paper investigates m ean square error properties of biased regression estim ators and presents a proce- dure for obtaining im proved estim ators.

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  • Communications, Series A1:Mathematics and Statistics