On the weighted mixed almost unbiased ridge estimator in stochastic restricted linear regression (Q2375711)

Summary: We introduce the weighted mixed almost unbiased ridge estimator (WMAURE) based on the weighted mixed estimator (WME) [\textit{G. Trenkler} and \textit{H. Toutenburg}, Stat. Hefte 31, No. 3, 165--179 (1990; Zbl 0703.62066)] and the almost unbiased ridge estimator (AURE) [\textit{F. Akdeniz} and \textit{H. Erol}, Commun. Stat., Theory Methods 32, No. 12, 2389--2413 (2003; Zbl 1028.62054)] in linear regression model. We discuss superiorities of the new estimator under the quadratic bias (QB) and the mean square error matrix (MSEM) criteria. Additionally, we give a method about how to obtain the optimal values of parameters \(k\) and \(w\). Finally, theoretical results are illustrated by a real data example and a Monte Carlo study.