Robust model selection criteria for robust Liu estimator

Meral Çetin

European Journal of Operational Research, 2009, vol. 199, issue 1, 21-24

Abstract: In linear regression analysis, outliers often have large influence in the model/variable selection process. The aim of this study is to select the subsets of independent variables which explain dependent variables in the presence of multicollinearity, outliers and possible departures from the normality assumption of the error distribution in robust regression analysis. In this study to overcome this combined problem of multicollinearity and outliers, we suggest to use robust selection criterion with Liu and Liu-type M(LM) estimators.

Keywords: Liu-estimator; Robust-Liu; estimator; M-estimator; Robust; Cp; Robust; Tp; Robust; model; selection (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:199:y:2009:i:1:p:21-24

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