Robust two parameter ridge M-estimator for linear regression
JOURNAL OF APPLIED STATISTICS, cilt.42, sa.7, ss.1490-1502, 2015 (SCI-Expanded, Scopus)
- 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.