IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v123y2014icp68-84.html
   My bibliography  Save this article

A ridge regression estimation approach to the measurement error model

Author

Listed:
  • Saleh, A.K.Md. Ehsanes
  • Shalabh,

Abstract

This paper considers the estimation of the parameters of measurement error models where the estimated covariance matrix of the regression parameters is ill conditioned. We consider the Hoerl and Kennard type (1970) ridge regression (RR) modifications of the five quasi-empirical Bayes estimators of the regression parameters of a measurement error model when it is suspected that the parameters may belong to a linear subspace. The modifications are based on the estimated covariance matrix of the estimators of regression parameters. The estimators are compared and the dominance conditions as well as the regions of optimality of the proposed estimators are determined based on quadratic risks.

Suggested Citation

  • Saleh, A.K.Md. Ehsanes & Shalabh,, 2014. "A ridge regression estimation approach to the measurement error model," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 68-84.
    • Handle: RePEc:eee:jmvana:v:123:y:2014:i:c:p:68-84
    DOI: 10.1016/j.jmva.2013.08.014
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047259X13001759
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.jmva.2013.08.014?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Shalabh & Garg, Gaurav & Misra, Neeraj, 2009. "Use of prior information in the consistent estimation of regression coefficients in measurement error models," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1498-1520, August.
    2. Kim, H.M. & Saleh, A.K.Md.Ehsanes, 2005. "Improved estimation of regression parameters in measurement error models," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 273-300, August.
    3. B. M. Golam Kibria & A. K. Md. E. Saleh, 2004. "Preliminary test ridge regression estimators with student’s t errors and conflicting test-statistics," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 59(2), pages 105-124, May.
    4. A. Saleh & B. Golam Kibria, 2011. "On some ridge regression estimators: a nonparametric approach," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(3), pages 819-851.
    5. Jurecková, Jana & Picek, Jan & Saleh, A.K.Md. Ehsanes, 2010. "Rank tests and regression rank score tests in measurement error models," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3108-3120, December.
    6. Shalabh, 1998. "Improved Estimation in Measurement Error Models Through Stein Rule Procedure," Journal of Multivariate Analysis, Elsevier, vol. 67(1), pages 35-48, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Huang, Chao & Farewell, Daniel & Pan, Jianxin, 2017. "A calibration method for non-positive definite covariance matrix in multivariate data analysis," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 45-52.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Cheng, C.-L. & Shalabh, & Garg, G., 2014. "Coefficient of determination for multiple measurement error models," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 137-152.
    2. Cheng, C.-L. & Shalabh, & Garg, G., 2016. "Goodness of fit in restricted measurement error models," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 101-116.
    3. A. Saleh & B. Golam Kibria, 2011. "On some ridge regression estimators: a nonparametric approach," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(3), pages 819-851.
    4. Sukhbir Singh & Kanchan Jain & Suresh Sharma, 2014. "Replicated measurement error model under exact linear restrictions," Statistical Papers, Springer, vol. 55(2), pages 253-274, May.
    5. Liang, Hua & Song, Weixing, 2009. "Improved estimation in multiple linear regression models with measurement error and general constraint," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 726-741, April.
    6. Vehkalahti, Kimmo & Puntanen, Simo & Tarkkonen, Lauri, 2007. "Effects of measurement errors in predictor selection of linear regression model," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 1183-1195, October.
    7. Roozbeh, M. & Arashi, M., 2013. "Feasible ridge estimator in partially linear models," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 35-44.
    8. M. Arashi & Mahdi Roozbeh, 2019. "Some improved estimation strategies in high-dimensional semiparametric regression models with application to riboflavin production data," Statistical Papers, Springer, vol. 60(3), pages 667-686, June.
    9. M. Nooi Asl & H. Bevrani & R. Arabi Belaghi & K. Mansson, 2021. "Ridge-type shrinkage estimators in generalized linear models with an application to prostate cancer data," Statistical Papers, Springer, vol. 62(2), pages 1043-1085, April.
    10. Hayat, Aziz & Bhatti, M. Ishaq, 2013. "Masking of volatility by seasonal adjustment methods," Economic Modelling, Elsevier, vol. 33(C), pages 676-688.
    11. A. Saleh & B. Kibria, 2013. "Improved ridge regression estimators for the logistic regression model," Computational Statistics, Springer, vol. 28(6), pages 2519-2558, December.
    12. A. Saleh & Jan Picek & Jan Kalina, 2012. "R-estimation of the parameters of a multiple regression model with measurement errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(3), pages 311-328, April.
    13. M. Arashi & T. Valizadeh, 2015. "Performance of Kibria’s methods in partial linear ridge regression model," Statistical Papers, Springer, vol. 56(1), pages 231-246, February.
    14. Kim, H.M. & Saleh, A.K.Md.Ehsanes, 2005. "Improved estimation of regression parameters in measurement error models," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 273-300, August.
    15. Mohammad Arashi & Mina Norouzirad & S. Ejaz Ahmed & Bahadır Yüzbaşı, 2018. "Rank-based Liu regression," Computational Statistics, Springer, vol. 33(3), pages 1525-1561, September.
    16. Shalabh & Garg, Gaurav & Misra, Neeraj, 2009. "Use of prior information in the consistent estimation of regression coefficients in measurement error models," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1498-1520, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:123:y:2014:i:c:p:68-84. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.