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Robust weighted least squares estimation of regression parameter in the presence of outliers and heteroscedastic errors

Adnan, Robiah and Saffari, Seyed Ehsan and Pati, Kafi Dano and Rasheed, Abdulkadir Bello (2014) Robust weighted least squares estimation of regression parameter in the presence of outliers and heteroscedastic errors. Jurnal Teknologi, 71 (1). pp. 11-18. ISSN 0127-9696

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Official URL: http://dx.doi.org/10.11113/jt.v71.3609

Abstract

In a linear regression model, the ordinary least squares (OLS) method is considered the best method to estimate the regression parameters if the assumptions are met. However, if the data does not satisfy the underlying assumptions, the results will be misleading. The violation for the assumption of constant variance in the least squares regression is caused by the presence of outliers and heteroscedasticity in the data. This assumption of constant variance (homoscedasticity) is very important in linear regression in which the least squares estimators enjoy the property of minimum variance. Therefor e robust regression method is required to handle the problem of outlier in the data. However, this research will use the weighted least square techniques to estimate the parameter of regression coefficients when the assumption of error variance is violated in the data. Estimation of WLS is the same as carrying out the OLS in a transformed variables procedure. The WLS can easily be affected by outliers. To remedy this, We have suggested a strong technique for the estimation of regression parameters in the existence of heteroscedasticity and outliers. Here we apply the robust regression of M-estimation using iterative reweighted least squares (IRWLS) of Huber and Tukey Bisquare function and resistance regression estimator of least trimmed squares to estimating the model parameters of state-wide crime of united states in 1993. The outcomes from the study indicate the estimators obtained from the M-estimation techniques and the least trimmed method are more effective compared with those obtained from the OLS.

Item Type:Article
Uncontrolled Keywords:outliers, robust estimation
Subjects:Q Science
Divisions:Science
ID Code:62501
Deposited By: Widya Wahid
Deposited On:15 Jun 2017 09:19
Last Modified:15 Jun 2017 09:19

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