Implementing a New Scale Technique in the M-Estimation Method to Estimate Parameters of Multiple Linear Regression: Simulation Study

Abstract

The goal of this study is to develop a new technique for estimating the parameters of a multiple linear regression by using M-estimation based on scale estimator to handle the influence of outlier values. In order to get new estimators, the root mean square error (RMSE) criterion is used to check the efficiency between the new technique and the classical method. The research showed that the new technique (M-estimation based on scale estimator) yields more accurate parameter estimates than the traditional approach (OLS) in all simulated cases.

Keywords

• Multiple Linear regression
• robust method
• Scale Estimator
• OLS
• RMSE