Comparison of some methods for estimating parameters of general linear model in presence of heteroscedastic problem and high leverage points

Abstract EN

Linear regression is one of the most important statistical tools through which it is possible to know the relationship between the response variable and one variable (or more) of the independent variable(s), which is often used in various fields of science.

Heteroscedastic is one of the linear regression problems, the effect of which leads to inaccurate conclusions.

The problem of heteroscedastic may be accompanied by the presence of extreme outliers in the independent variables (High leverage points) (HLPs), the presence of (HLPs) in the data set result unrealistic estimates and misleading inferences.

In this paper, we review some of the robust weighted estimation methods that accommodate both Robust and classical methods in the detection of extreme outliers (High leverage points) (HLPs) and the determination of weights.

The methods include both Diagnostic Robust Generalized Potential Based on Minimum Volume Ellipsoid (DRGP (MVE)), Diagnostic Robust Generalized Potential Based on Minimum Covariance Determinant (DRGP (MCD)), and Diagnostic Robust Generalized Potential Based on Index Set Equality (DRGP (ISE)).

The comparison was made according to the standard error criterion of the estimated parameters SE (〖HC〗_4W) and SE (〖HC〗_5W) of the general linear regression model, for sample sizes (n=60, n=100, n=160), with different degree (severity) of heterogeneity, and contamination percentage (HLPs) are (τ =10% , τ=30% ).

it was found through comparison that weighted least squares estimation based on the weights of the DRGP (ISE) method are considered the best in estimating the parameters of the multiple linear regression model because they have the lowest standard error values of the estimators (〖HC〗_4W) and (〖HC〗_5W) as compared to other methods.

Paper type: A case study