Advances and Applications in Statistics
Volume 19, Issue 1, Pages 21 - 32
(November 2010)
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INADMISSIBILITY OF THE LIU ESTIMATOR TO THE ORDINARY LEAST SQUARES ESTIMATOR
Gülesen Üstündağ Şiray and Sadullah Sakallıoğlu
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Abstract: In this paper, we investigate the admissibility of the generalized Liu and ordinary Liu estimators to the ordinary least squares estimator in the multivariate linear model under the Fisherian and Mahalanobis loss functions. We obtain that the generalized Liu and ordinary Liu estimators are inadmissible under the Mahalanobis loss function. Finally, a Monte Carlo simulation study is made to illustrate some of the theoretical results. |
Keywords and phrases: generalized Liu estimator, ordinary least squares estimator, Mahalanobis loss function, Fisherian loss function, admissibility. |
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