Robust heteroscedasticity consistent covariance matrix estimator based on robust mahalanobis distance and diagnostic robust generalized potential weighting methods in linear regression
The violation of the assumption of homoscedasticity and the presence of high leverage points (HLPs) are common in the use of regression models. The weighted least squares can provide the solution to heteroscedastic regression model if the heteroscedastic error structures are known. Based on Furno (1...
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| Format: | Article |
| Language: | English |
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JMASM
2018
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| Online Access: | http://psasir.upm.edu.my/id/eprint/73815/ http://psasir.upm.edu.my/id/eprint/73815/1/Robust%20heteroscedasticity%20consistent%20covariance%20matrix%20estimator%20based%20on%20robust%20mahalanobis%20distance%20and%20diagnostic%20robust%20generalized%20potential%20weighting%20methods%20in%20linear%20regression.pdf |
| _version_ | 1848857367576313856 |
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| author | Midi, Habshah Sani, Muhammad Arasan, Jayanthi |
| author_facet | Midi, Habshah Sani, Muhammad Arasan, Jayanthi |
| author_sort | Midi, Habshah |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | The violation of the assumption of homoscedasticity and the presence of high leverage points (HLPs) are common in the use of regression models. The weighted least squares can provide the solution to heteroscedastic regression model if the heteroscedastic error structures are known. Based on Furno (1996), two robust weighting methods are proposed based on HLP detection measures (robust Mahalanobis distance based on minimum volume ellipsoid and diagnostic robust generalized potential based on index set equality (DRGP(ISE)) on robust heteroscedasticity consistent covariance matrix estimators. Results obtained from a simulation study and real data sets indicated the DRGP(ISE) method is superior. |
| first_indexed | 2025-11-15T11:56:26Z |
| format | Article |
| id | upm-73815 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T11:56:26Z |
| publishDate | 2018 |
| publisher | JMASM |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-738152020-05-06T17:57:11Z http://psasir.upm.edu.my/id/eprint/73815/ Robust heteroscedasticity consistent covariance matrix estimator based on robust mahalanobis distance and diagnostic robust generalized potential weighting methods in linear regression Midi, Habshah Sani, Muhammad Arasan, Jayanthi The violation of the assumption of homoscedasticity and the presence of high leverage points (HLPs) are common in the use of regression models. The weighted least squares can provide the solution to heteroscedastic regression model if the heteroscedastic error structures are known. Based on Furno (1996), two robust weighting methods are proposed based on HLP detection measures (robust Mahalanobis distance based on minimum volume ellipsoid and diagnostic robust generalized potential based on index set equality (DRGP(ISE)) on robust heteroscedasticity consistent covariance matrix estimators. Results obtained from a simulation study and real data sets indicated the DRGP(ISE) method is superior. JMASM 2018 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/73815/1/Robust%20heteroscedasticity%20consistent%20covariance%20matrix%20estimator%20based%20on%20robust%20mahalanobis%20distance%20and%20diagnostic%20robust%20generalized%20potential%20weighting%20methods%20in%20linear%20regression.pdf Midi, Habshah and Sani, Muhammad and Arasan, Jayanthi (2018) Robust heteroscedasticity consistent covariance matrix estimator based on robust mahalanobis distance and diagnostic robust generalized potential weighting methods in linear regression. Journal of Modern Applied Statistical Methods, 17 (1). art. no. eP2596. pp. 1-24. ISSN 1538-9472 10.22237/jmasm/1530279855 |
| spellingShingle | Midi, Habshah Sani, Muhammad Arasan, Jayanthi Robust heteroscedasticity consistent covariance matrix estimator based on robust mahalanobis distance and diagnostic robust generalized potential weighting methods in linear regression |
| title | Robust heteroscedasticity consistent covariance matrix estimator based on robust mahalanobis distance and diagnostic robust generalized potential weighting methods in linear regression |
| title_full | Robust heteroscedasticity consistent covariance matrix estimator based on robust mahalanobis distance and diagnostic robust generalized potential weighting methods in linear regression |
| title_fullStr | Robust heteroscedasticity consistent covariance matrix estimator based on robust mahalanobis distance and diagnostic robust generalized potential weighting methods in linear regression |
| title_full_unstemmed | Robust heteroscedasticity consistent covariance matrix estimator based on robust mahalanobis distance and diagnostic robust generalized potential weighting methods in linear regression |
| title_short | Robust heteroscedasticity consistent covariance matrix estimator based on robust mahalanobis distance and diagnostic robust generalized potential weighting methods in linear regression |
| title_sort | robust heteroscedasticity consistent covariance matrix estimator based on robust mahalanobis distance and diagnostic robust generalized potential weighting methods in linear regression |
| url | http://psasir.upm.edu.my/id/eprint/73815/ http://psasir.upm.edu.my/id/eprint/73815/ http://psasir.upm.edu.my/id/eprint/73815/1/Robust%20heteroscedasticity%20consistent%20covariance%20matrix%20estimator%20based%20on%20robust%20mahalanobis%20distance%20and%20diagnostic%20robust%20generalized%20potential%20weighting%20methods%20in%20linear%20regression.pdf |