Optimal Linear Biased Estimation Based on Generalized Contraction Mapping

Abstract

Estimation methods are generalized in this paper by the idea of “scalar-vector-matrix”. A generalized contraction mapping (GCM) framework is proposed for searching the optimal linear biased estimation. First, based on the latent model and the mean square error criterion, four different biased estimation methods are analyzed. They are the improved principal component estimation (PCE), the improved principal component estimation (IPCE), the ridge estimation (RE), and the generalized ridge estimation (GRE). A suboptimal ridge parameter for the RE is given. Four estimation performance theorems for the four methods are obtained using the traditional contraction mapping (CM) framework. The theoretical results can ease the difficulty of choosing methods for application. Second, we generalize the CM framework into the generalized contraction mapping (GCM) framework, and the optimal linear biased estimation method based GCM is given theoretically by the geometric tools of rotation, contraction, and reflection. Therefore, the GCM framework further improves the estimation performance. Finally, a numerical experiment is designed to validate the correctness of the theorems in the paper.