Robust two parameter ridge M-estimator for linear regression

Ertaş H., Toker S., KAÇIRANLAR S.

JOURNAL OF APPLIED STATISTICS, cilt.42, sa.7, ss.1490-1502, 2015 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 42 Sayı: 7
  • Basım Tarihi: 2015
  • Doi Numarası: 10.1080/02664763.2014.1000577
  • Dergi Adı: JOURNAL OF APPLIED STATISTICS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.1490-1502
  • Anahtar Kelimeler: 62J07, 62J05, M-estimator, outliers, robust regression, two parameter ridge estimator, multicollinearity, PERFORMANCE
  • Çukurova Üniversitesi Adresli: Evet

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.