Robust Liu-type estimator for regression based on M-estimator


Ertas H., KAÇIRANLAR S. , GÜLER H.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, cilt.46, ss.3907-3932, 2017 (SCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 46 Konu: 5
  • Basım Tarihi: 2017
  • Doi Numarası: 10.1080/03610918.2015.1045077
  • Dergi Adı: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
  • Sayfa Sayısı: ss.3907-3932

Özet

The problem of multicollinearity and outliers in the dataset can strongly distort ordinary least-square estimates and lead to unreliable results. We propose a new Robust Liu-type M-estimator to cope with this combined problem of multicollinearity and outliers in the y-direction. Our new estimator has advantages over two-parameter Liu-type estimator, Ridge-type M-estimator, and M-estimator. Furthermore, we give a numerical example and a simulation study to illustrate some of the theoretical results.