A dual estimator as a tool for solving regression problems

DOI10.1214/13-EJS848zbMATH Open1293.62073arXiv1010.0959MaRDI QIDQ367221FDOQ367221

Anatoly Gordinsky

Publication date: 26 September 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: An effective two-stage method for an estimation of parameters of the linear regression is considered. For this purpose we introduce a certain quasi-estimator that, in contrast to usual estimator, produces two alternative estimates. It is proved that, in comparison to the least squares estimate, one alternative has a significantly smaller quadratic risk, retaining at the same time unbiasedness and consistency. These properties hold true for one-dimensional, multi-dimensional, orthogonal and non-orthogonal problems. Moreover, a Monte-Carlo simulation confirms high robustness of the quasi-estimator to violations of the initial assumptions. Therefore, at the first stage of the estimation we calculate mentioned two alternative estimates. At the second stage we choose the better estimate out of these alternatives. In order to do so we use additional information, among it but not exclusively of a priori nature. In case of two alternatives the volume of such information should be minimal. Furthermore, the additional information is not built-in into the quasi-estimator structure, so that any kind of information, even intuitive one, can be used. These features, in combination with decrease of the quadratic risk, provide a great advantage of our method. A variety of types of the additional information for choosing the better estimate is considered. One example is the successful processing of the famous experiment conducted by astronomers in 1919 to verify the General The-ory of Relativity of A. Einstein.

Full work available at URL: https://arxiv.org/abs/1010.0959

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zbMATH Keywords

consistencylinear regressionrobustnessunbiasednesscomparative analysisadvantage in variancedual estimatorstrictly dominating

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Linear regression; mixed models (62J05)

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Cited In (1)

• THE DUALS OF SOME REGRESSION METHODS

Uses Software

• ElemStatLearn

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