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Insha’s Redescending M-estimator for Robust Regression: A Comparative Study

Pakistan Journal of Statistics and Operation Research

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Title Insha’s Redescending M-estimator for Robust Regression: A Comparative Study
 
Creator Ullah, Insha
Qadir, Muhammad F.
Ali, Asad
 
Description In this paper we present a new redescending M-estimator “Insha’s estimator” for robust regression and outliers detection that overcomes some drawbacks of other M-estimators for robust regression and outliers detection, such as destruction of the good observations and lack of simplicity in applications. The Ψ-function associated with the proposed estimator attains more linearity in the central section before it redescends, resulting in enhanced efficiency. Moreover the estimator is continuous everywhere and can be written in closed form without the use of an indictor function. The estimator is also applied to a real world example taken from the literature. For the purpose of comparison with other well-known redescending M-estimators extensive simulation study has been carried out. The example and simulation study show that using this estimator all the outliers can be successfully detected and is not affected by outliers.
 
Publisher College of Statistical and Actuarial Sciences
 
Date 2006-07-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.pjsor.com/index.php/pjsor/article/view/97
10.18187/pjsor.v2i2.97
 
Source Pakistan Journal of Statistics and Operation Research; Vol 2. No. 2, July 2006; 135-144
2220-5810
1816-2711
 
Language eng
 
Relation http://www.pjsor.com/index.php/pjsor/article/view/97/74