A comparison study of various robust regression estimators using simulation

- Journal title : Korean Journal of Applied Statistics
- Volume 29, Issue 3, 2016, pp.471-485
- Publisher : The Korean Statistical Society
- DOI : 10.5351/KJAS.2016.29.3.471

Title & Authors

A comparison study of various robust regression estimators using simulation

Jang, Soohee; Yoon, Jungyeon; Chun, Heuiju;

Jang, Soohee; Yoon, Jungyeon; Chun, Heuiju;

Abstract

Least squares (LS) regression is a classic method for regression that is optimal under assumptions of regression and usual observations. However, the presence of unusual data in the LS method leads to seriously distorted estimates. Therefore, various robust estimation methods are proposed to circumvent the limitations of traditional LS regression. Among these, there are M-estimators based on maximum likelihood estimation (MLE), L-estimators based on linear combinations of order statistics and R-estimators based on a linear combinations of the ordered residuals. In this paper, robust regression estimators with high breakdown point and/or with high efficiency are compared under several simulated situations. The paper analyses and compares distributions of estimates as well as relative efficiencies calculated from mean squared errors (MSE) in the simulation study. We conclude that MM-estimators or GR-estimators are a good choice for the real data application.

Keywords

robust regression;breakdown point;M-estimation;L-estimation;R-estimation;

Language

Korean

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