The relative efficiency of a robust generalized Bayes estimator in a linear regression model with multicollinearity |
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| Affiliation: | 1. Faculty of Informatics and Information Technologies, Slovak University Of Technology in Bratislava, Slovak Republic;2. Faculty of Informatics, TU Wien, Austria |
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| Abstract: | This paper uses Monte Carlo techniques to examine the performance of a robust generalized Bayes estimator for a linear regression model when multicollinearity is present. Unlike many improved estimators, this near-minimax estimator performs very well under squared error loss even when the data are ill-conditioned. |
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