Linear regression is an important area of statistics, theoretical or applied. There have been a large number of estimation methods proposed and developed for linear regression. Each has its own competitive edge but none is good for all purposes. This manuscript focuses on construction of an adaptive combination of two estimation methods. The purpose of such adaptive methods is to help users make an objective choice and to combine desirable properties of two estimators.

Linear regression is an important area of statistics, theoretical or applied. There have been a large number of estimation methods proposed and developed for linear regression. Each has its own competitive edge but none is good for all purposes. This manuscript focuses on construction of an adaptive combination of two estimation methods. The purpose of such adaptive methods is to help users make an objective choice and to combine desirable properties of two estimators.