Robust multicollinearity diagnostic measures based on minimum covariance determinants approach
The classical multicollinearity diagnostic measures are not resistant to high leverage points since their formulation are based on eigen analysis of classical correlation matrix that is very sensitive to the presence of these leverages. The existing robust multicollinearity diagnostics also are not...
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| Format: | Article |
| Language: | English |
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Academy of Economic Studies
2013
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| Online Access: | http://psasir.upm.edu.my/id/eprint/35288/ http://psasir.upm.edu.my/id/eprint/35288/1/Robust%20multicollinearity%20diagnostic%20measures%20based%20on%20minimum%20covariance%20determinants%20approach.pdf |
| _version_ | 1848848012776833024 |
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| author | Midi, Habshah Bagheri, Arezoo |
| author_facet | Midi, Habshah Bagheri, Arezoo |
| author_sort | Midi, Habshah |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | The classical multicollinearity diagnostic measures are not resistant to high leverage points since their formulation are based on eigen analysis of classical correlation matrix that is very sensitive to the presence of these leverages. The existing robust multicollinearity diagnostics also are not able to diagnose the variables which are collinear to each other. In this paper, we proposed robust multicollinearity diagnostic measures based on the Minimum Covariance Determination (MCD), which is a highly robust estimator of multivariate location and scatter. The results of numerical example and simulation study confirmed the merit of our new proposed robust multicollinearity diagnostic measures. |
| first_indexed | 2025-11-15T09:27:44Z |
| format | Article |
| id | upm-35288 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T09:27:44Z |
| publishDate | 2013 |
| publisher | Academy of Economic Studies |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-352882018-09-19T01:34:20Z http://psasir.upm.edu.my/id/eprint/35288/ Robust multicollinearity diagnostic measures based on minimum covariance determinants approach Midi, Habshah Bagheri, Arezoo The classical multicollinearity diagnostic measures are not resistant to high leverage points since their formulation are based on eigen analysis of classical correlation matrix that is very sensitive to the presence of these leverages. The existing robust multicollinearity diagnostics also are not able to diagnose the variables which are collinear to each other. In this paper, we proposed robust multicollinearity diagnostic measures based on the Minimum Covariance Determination (MCD), which is a highly robust estimator of multivariate location and scatter. The results of numerical example and simulation study confirmed the merit of our new proposed robust multicollinearity diagnostic measures. Academy of Economic Studies 2013 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/35288/1/Robust%20multicollinearity%20diagnostic%20measures%20based%20on%20minimum%20covariance%20determinants%20approach.pdf Midi, Habshah and Bagheri, Arezoo (2013) Robust multicollinearity diagnostic measures based on minimum covariance determinants approach. Economic Computation and Economic Cybernetics Studies and Research, 47 (4). pp. 71-86. ISSN 0424-267X; ESSN: 1842-3264 http://www.ecocyb.ase.ro/Articles20134.htm |
| spellingShingle | Midi, Habshah Bagheri, Arezoo Robust multicollinearity diagnostic measures based on minimum covariance determinants approach |
| title | Robust multicollinearity diagnostic measures based on minimum covariance determinants approach |
| title_full | Robust multicollinearity diagnostic measures based on minimum covariance determinants approach |
| title_fullStr | Robust multicollinearity diagnostic measures based on minimum covariance determinants approach |
| title_full_unstemmed | Robust multicollinearity diagnostic measures based on minimum covariance determinants approach |
| title_short | Robust multicollinearity diagnostic measures based on minimum covariance determinants approach |
| title_sort | robust multicollinearity diagnostic measures based on minimum covariance determinants approach |
| url | http://psasir.upm.edu.my/id/eprint/35288/ http://psasir.upm.edu.my/id/eprint/35288/ http://psasir.upm.edu.my/id/eprint/35288/1/Robust%20multicollinearity%20diagnostic%20measures%20based%20on%20minimum%20covariance%20determinants%20approach.pdf |