Robust Liu-type estimator based on GM estimator

Isilar M., BULUT Y. M.

STATISTICA NEERLANDICA, 2023 (SCI-Expanded) identifier

  • Publication Type: Article / Article
  • Publication Date: 2023
  • Doi Number: 10.1111/stan.12310
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, zbMATH
  • Keywords: GM estimator, Liu-type estimator, M-type estimator, multicollinearity, outlier, RIDGE-REGRESSION, MONTE-CARLO, MULTICOLLINEARITY
  • Eskisehir Osmangazi University Affiliated: Yes


Ordinary Least Squares Estimator (OLSE) is widely used to estimate parameters in regression analysis. In practice, the assumptions of regression analysis are often not met. The most common problems that break these assumptions are outliers and multicollinearity problems. As a result of these problems, OLSE loses efficiency. Therefore, alternative estimators to OLSE have been proposed to solve these problems. Robust estimators are often used to solve the outlier problem, and biased estimators are often used to solve the multicollinearity problem. These problems do not always occur individually in the real-world dataset. Therefore, robust biased estimators are proposed for simultaneous solutions to these problems. The aim of this study is to propose Liu-type Generalized M Estimator as an alternative to the robust biased estimators available in the literature to obtain more efficient results. This estimator gives effective results in the case of outlier and multicollinearity in both dependent and independent variables. The proposed estimator is theoretically compared with other estimators available in the literature. In addition, Monte Carlo simulation and real dataset example are performed to compare the performance of the estimator with existing estimators.