A robust estimation method for the linear regression model parameters with correlated error terms and outliers

被引:4
作者
Piradl, Sajjad [1 ]
Shadrokh, Ali [1 ]
Yarmohammadi, Masoud [1 ]
机构
[1] Payame Noor Univ, Dept Stat, Tehran 193954697, Iran
关键词
Robust estimation method; minimum Matusita distance estimation method; non-parametric kernel density estimation method; correlated error terms; outliers;
D O I
10.1080/02664763.2021.1881454
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Independence of error terms in a linear regression model, often not established. So a linear regression model with correlated error terms appears in many applications. According to the earlier studies, this kind of error terms, basically can affect the robustness of the linear regression model analysis. It is also shown that the robustness of the parameters estimators of a linear regression model can stay using the M-estimator. But considering that, it acquires this feature as the result of establishment of its efficiency. Whereas, it has been shown that the minimum Matusita distance estimators, has both features robustness and efficiency at the same time. On the other hand, because the Cochrane and Orcutt adjusted least squares estimators are not affected by the dependence of the error terms, so they are efficient estimators. Here we are using of a non-parametric kernel density estimation method, to give a new method of obtaining the minimum Matusita distance estimators for the linear regression model with correlated error terms in the presence of outliers. Also, simulation and real data study both are done for the introduced estimation method. In each case, the proposed method represents lower biases and mean squared errors than the other two methods.
引用
收藏
页码:1663 / 1676
页数:14
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