lrmest v1.0

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Different types of estimators to deal with multicollinearity.

When multicollinearity exists among predictor variables of the linear model, least square estimators does not provide a better solution for estimating parameters. To deal with multicollinearity several estimators are proposed in the literature. Some of these estimators are Ordinary Least Square Estimator (OLSE), Ordinary Ridge Regression Estimator (ORRE), Restricted Least Square Estimator (RLSE), Ordinary Mixed Regression Estimator (OMRE), Liu Estimator (LE), Restricted Liu Estimator (RLE), Stochastic Restricted Liu Estimator (SRLE), Type (1) Liu Estimator (Type-1 LTE), Type (2) Liu Estimator (Type-2 LTE), Type (3) Liu Estimator (Type-3 LTE), Type (1) Adjusted Liu Estimator (Type-1 ALTE), Type (2) Adjusted Liu Estimator (Type-2 ALTE), Type (3) Adjusted Liu Estimator (Type-3 ALTE), Almost Unbiased Ridge Estimator (AURE), Almost Unbiased Liu Estimator (AULE), Stochastic Restricted Ridge Estimator (SRRE) and Restricted Ridge Regression Estimator (RRRE). To select the best estimator in a practical situation the Mean Square Error (MSE) is used. Using this package scalar MSE value of all the above estimators and Prediction Sum of Square (PRESS) values of some of the estimators can be obtained, and the variation of the MSE and PRESS values for the relevant estimators can be shown graphically.

Functions in lrmest

Name Description
lte1 Type (1) Liu Estimator
alte2 Type (2) Adjusted Liu Estimator
ols Ordinary Least Square Estimators
lrmest-package Estimation of varies types of estimators in the linear model
aul Almost Unbiased Liu Estimator
checkm Check the degree of multicollinearity present in the dataset
alte3 Type (1) Adjusted Liu Estimator
liu Liu Estimator
rliu Restricted Liu Estimator
lte3 Type (3) Liu Estimator
srliu Stochastic Restricted Liu Estimator
optimum Summary of optimum scalar Mean Square Error values of all estimators and optimum Prediction Sum of Square values of some of the estimators
rrre Restricted Ridge Regression Estimator
pcd Portland Cement Dataset
rid Ordinary Ridge Regression Estimator
aur Almost Unbiased Ridge Estimator
rls Restricted Least Square Estimator
mixe Ordinary Mixed Regression Estimator
lte2 Type (2) Liu Estimator
srre Stochastic Restricted Ridge Estimator
alte1 Type (1) Adjusted Liu Estimator
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Details

Type Package
Date 2013-08-31
LazyData yes
License GPL-2 | GPL-3
Packaged 2013-08-31 15:15:28 UTC; user
NeedsCompilation no
Repository CRAN
Date/Publication 2013-08-31 18:42:26

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