Robust Estimation in Linear Regression with Molticollinearity and Sparse Models
نویسندگان
چکیده مقاله:
One of the factors affecting the statistical analysis of the data is the presence of outliers. The methods which are not affected by the outliers are called robust methods. Robust regression methods are robust estimation methods of regression model parameters in the presence of outliers. Besides outliers, the linear dependency of regressor variables, which is called multicollinearity, the large number of regressor variables with respect to sample size, specially in high dimensional sparse models, are problems which result in efficiency reduction of inferences in classical regression methods. In this paper, we first study the disadvantages of classical least squares regression method, when facing with outliers, multicollinearity and sparse models. Then, we introduce and study robust and penalized regression methods, as a solution to overcome these problems. Furthermore, considering outliers and multicollinearity or sparse models, simultaneously, we study penalized-robust regression methods. We examine the performance of different estimators introdused in this paper, through three different simulation studies. A real data set is also analyzed using the proposed methods.
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عنوان ژورنال
دوره 22 شماره 2
صفحات 93- 110
تاریخ انتشار 2018-03
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