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Comparison of regression techniques via Monte Carlo simulation
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Date
2004
Author
Mutan, Oya Can
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The ordinary least squares (OLS) is one of the most widely used methods for modelling the functional relationship between variables. However, this estimation procedure counts on some assumptions and the violation of these assumptions may lead to nonrobust estimates. In this study, the simple linear regression model is investigated for conditions in which the distribution of the error terms is Generalised Logistic. Some robust and nonparametric methods such as modified maximum likelihood (MML), least absolute deviations (LAD), Winsorized least squares, least trimmed squares (LTS), Theil and weighted Theil are compared via computer simulation. In order to evaluate the estimator performance, mean, variance, bias, mean square error (MSE) and relative mean square error (RMSE) are computed.
Subject Keywords
Probabilities.
URI
http://etd.lib.metu.edu.tr/upload/3/12605175/index.pdf
https://hdl.handle.net/11511/14278
Collections
Graduate School of Natural and Applied Sciences, Thesis
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O. C. Mutan, “Comparison of regression techniques via Monte Carlo simulation,” M.S. - Master of Science, Middle East Technical University, 2004.