Robust two parameter ridge M-estimator for linear regression


Ertaş H. , Toker S. , KAÇIRANLAR S.

JOURNAL OF APPLIED STATISTICS, cilt.42, ss.1490-1502, 2015 (SCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 42 Konu: 7
  • Basım Tarihi: 2015
  • Doi Numarası: 10.1080/02664763.2014.1000577
  • Dergi Adı: JOURNAL OF APPLIED STATISTICS
  • Sayfa Sayıları: ss.1490-1502

Özet

The problem of multicollinearity and outliers in the data set produce undesirable effects on the ordinary least squares estimator. Therefore, robust two parameter ridge estimation based on M-estimator (ME) is introduced to deal with multicollinearity and outliers in the y-direction. The proposed estimator outperforms ME, two parameter ridge estimator and robust ridge M-estimator according to mean square error criterion. Moreover, a numerical example and a Monte Carlo simulation experiment are presented.