Employing particle swarm optimization algorithm for shrinkage parameter estimation in generalized Liu estimator
2020 ◽
Vol 8
(1)
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pp. 10
Keyword(s):
It is well-known that in the presence of multicollinearity, the Liu estimator is an alternative to the ordinary least square (OLS) estimator and the ridge estimator. Generalized Liu estimator (GLE) is a generalization of the Liu estimator. However, the efficiency of GLE depends on appropriately choosing the shrinkage parameter matrix which is involved in the GLE. In this paper, a particle swarm optimization method, which is a metaheuristic continuous algorithm, is proposed to estimate the shrinkage parameter matrix. The simulation study and real application results show the superior performance of the proposed method in terms of prediction error.
2018 ◽
Vol 9
(1)
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pp. 1-5
2012 ◽
Vol 132
(1)
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pp. 42-52
2013 ◽
Vol 33
(7)
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pp. 1926-1929
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2018 ◽
Vol 34
(2)
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pp. 955-964
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2006 ◽
Vol 42
(4)
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pp. 1107-1110
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