Handling Multicollinearity and Outliers: A Comparative Study of Some One and Two–Parameter Estimators Using Real-Life Data
DOI:
https://doi.org/10.62054/ijdm/0104.14Trefwoorden:
Multicollinearity, Outliers, traditional least square, Mean square error, estimatorSamenvatting
It is evident that when data suffers the problem of multicollinearity, the traditional least square is incapacitated and unreliable. Hence, needs to use bias estimator such as Ridge estimator, Liu estimator among others. Also, presence of outliers is another treat and to tackle this challenge is the use of robust regression estimators which include M, MM, LTS, LMS, LAD, LQS and S estimators. However, the presence of the two anomalies may be inevitable. Several estimators have been combined to handle the problems simultaneously. Therefore, this study compared and contrasted some robust one and two-parameter estimators using some real-life data sets. Mean Square Error (MSE) was used as criterion to select the best estimator. Some of the robust estimators were found to be inconsistent in addressing the twin problems. However, across all the data set employed in the study, the results revealed that robust Modified Ridge Type (MRT) in M, MM and LTS did well using minimum MSE
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