Robust two parameter ridge M-estimator for linear regression

Hasan Ertas, Selma Toker and Selahattin Ka�ıranlar

Journal of Applied Statistics, 2015, vol. 42, issue 7, 1490-1502

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.

Date: 2015
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DOI: 10.1080/02664763.2014.1000577

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