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Journal of Statistics and Management Systems

(Since 1998)
Open Access ·Peer-reviewed·ISSN (Online): 2169-0014·ISSN (Print): 0972-0510
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The Journal of Statistics and Management Systems (JSMS) is a world leading journal publishing high quality, rigorously peer-reviewed original research on theoretical and applied statistics and management systems since 1998. The scope is intentionally broad, but papers must make a novel contribution to the field to be considered for publication. Topics include, but are not limited to, the following: • Statistics • Applied Statistics • Industrial Statistics • Statistical Inference • Interdisciplinary role of Statistics • Actuarial Sciences • Decision Sciences • Managerial Aspects • Management Sciences • Management Information Systems

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Journal of Statistics and Management Systems
Open Access Research Article

Robust M-estimation for linear regression models : Adaptive aspect

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pp. 877–910Vol. 27Issue 5July 2024DOI: 10.47974/JSMS-1032XML
Received:
12 Aug 2021
Published Online:
05 Aug 2024
Article type:
Research Article
Language:
EN
Article no.:
JSMS-1032
Pages:
877–910

Abstract

In this study, adaptive one-step generalized M-estimators for the regression parameters of the linear regression model are derived. The proposed estimators are developed assuming the exponential power family and the t-distribution family. A class of one-step M-estimators with likelihood score function is obtained then the estimators are adapted to the distribution. A Monte Carlo simulation study is conducted to investigate the performance of the suggested estimators. The results show that the proposed adaptive robust estimators are highly efficient than least squares estimators as well as robust counterparts. The results show also that the suggested method for estimating the shape parameter through its relation with the kurtosis coefficient gives efficient estimators.

Keywords

Exponential power distributiont-DistributionOne-step M-estimationKurtosis coefficientRobust weights

Subject Classifications

(2010) 62F35

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