The Relative Efficiency of Generalized Ridge Estimation for Multivariate Generalized Aggregation Doubleparameters of Multivariate Linear Model with Aggregated Data
The ridge estimation of the multicollinearity aggregated data model overly emphasized the stability of param-eters and ignored their unbiasedness.In response to this problem,based on Liu-type and Stein-type compression estimation method,generalized ridge estimation[(B)h(K,D)=(X'T'TX+hI)1(X'T'TX+QDQ')(X'T'TX+QKQ')-1 X'T'TY]of multivariate generalized aggregation doubleparameters for linear model parame-ters of aggregated data was proposed,the superiority of the improved estimation of multivariate generalized aggrega-ted dual parameters was discussed,and the two relative efficiencies were proved.Finally,the upper bounds of these two relative efficiencies were derived.
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