The Relative Efficiency of the Improved Generalized Ridge Estimator for Multivariate Aggregation of the Parameters of the Linear Model with Aggregated Data
In this paper,based on Liu-type and Stein-type compression estimation method,an improved general-ized ridge estimation of multivariate aggregation for ill-conditioned aggregated data model is proposed.The superior-ity of the improved generalized ridge estimator for multivariate aggregation is discussed,and the upper bounds of the two relative efficiencies are obtained.
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