Alternative Estimators

In the previous chapter we have considered the non-linear Stein estimator as an example for an alternative to the ordinary least squares estimator which can have specific advantages. Now, we present further alternative estimators whose use can be shown to benefit certain situations. In general, we proceed by presenting an alternative as a linear estimator and comparing its properties with those of the ordinary least squares estimator. Then we demonstrate the use of one or more non-linear variants of the estimator in question in practice.