Comparison of some estimators under the Pitman's closeness criterion in linear regression model (Q2336620)

Summary: \textit{F. Sh. M. Batah} et al. [Commun. Stat., Theory Methods 38, No. 13, 2201--2209 (2009; Zbl 1170.62047)] combined the unbiased ridge estimator and principal components regression estimator and introduced the modified \(r\)-\(k\) class estimator. They also showed that the modified \(r\)-\(k\) class estimator is superior to the ordinary least squares estimator and principal components regression estimator in the mean squared error matrix. In this paper, firstly, we will give a new method to obtain the modified \(r\)-\(k\) class estimator; secondly, we will discuss its properties in some detail, comparing the modified \(r\)-\(k\) class estimator to the ordinary least squares estimator and principal components regression estimator under the Pitman closeness criterion. A numerical example and a simulation study are given to illustrate our findings.