Robust two parameter ridge M-estimator for linear regression

Ertaş H., Toker S., KAÇIRANLAR S.

JOURNAL OF APPLIED STATISTICS, vol.42, no.7, pp.1490-1502, 2015 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 42 Issue: 7
  • Publication Date: 2015
  • Doi Number: 10.1080/02664763.2014.1000577
  • Journal Name: JOURNAL OF APPLIED STATISTICS
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.1490-1502
  • Keywords: 62J07, 62J05, M-estimator, outliers, robust regression, two parameter ridge estimator, multicollinearity, PERFORMANCE
  • Çukurova University Affiliated: Yes

Abstract

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.