Two parameter Ridge estimator in the inverse Gaussian regression model
HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS, vol.50, no.3, pp.895-910, 2021 (SCI-Expanded, Scopus, TRDizin)
- Publication Type: Article / Article
- Volume: 50 Issue: 3
- Publication Date: 2021
- Doi Number: 10.15672/hujms.813540
- Journal Name: HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS
- Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus, zbMATH, TR DİZİN (ULAKBİM)
- Page Numbers: pp.895-910
- Keywords: inverse Gaussian regression, biased estimators, two parameter Ridge estimator, multicollinearity, MEAN-SQUARE ERROR, PERFORMANCE
- Eskisehir Osmangazi University Affiliated: Yes
Abstract
It is well known that multicollinearity, which occurs among the explanatory variables, has adverse effects on the maximum likelihood estimator in the inverse Gaussian regression model. Biased estimators are proposed to cope with the multicollinearity problem in the inverse Gaussian regression model. The main interest of this article is to introduce a new biased estimator. Also, we compare newly proposed estimator with the other estimators given in the literature. We conduct a Monte Carlo simulation and provide a real data example to illustrate the performance of the proposed estimator over the maximum likelihood and Ridge estimators. As a result of the simulation study and real data example, the newly proposed estimator is superior to the other estimators used in this study.