BAREKENG: Jurnal Ilmu Matematika dan Terapan
Vol 17 No 2 (2023): BAREKENG: Journal of Mathematics and Its Applications

COMPARISON OF ROBUST ESTIMATION ON MULTIPLE REGRESSION MODEL

Padrul Jana (Department of Mathematics, FMIPA, Universitas Gadjah Mada, Indonesia)
Dedi Rosadi (Department of Mathematics, FMIPA, Universitas Gadjah Mada, Indonesia)
Epha Diana Supandi (Department of Mathematics, FST, Universitas Islam Negeri Sunan Kalijaga Yogyakarta, Indonesia)



Article Info

Publish Date
11 Jun 2023

Abstract

This study aimed to compare the robustness of the OLS method with a robust regression model on data that had outliers. The methods used on the robust regression model were M-estimation, MM-estimation, and S-estimation. The step taken was to check the characteristics of the data against outliers. Furthermore, the data were modeled with and without outliers using the OLS method and the M-, MM-, and S-estimations. The results were very different between the data with and without the outlier models in the OLS method. It was reflected in the intercept and standard error variables generated from the models. Meanwhile, the regression model with the M-, MM-, and S-estimations was quite stable and able to withstand the presence of outliers. Based on the three estimations that were robust against the outliers, the MM-estimation was the best candidate because, in addition to having a stable intercept parameter estimation, it also had the smallest standard error, which was 61.9 in the resulting model.

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Journal Info

Abbrev

barekeng

Publisher

Subject

Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Energy Engineering Mathematics Mechanical Engineering Physics Transportation

Description

BAREKENG: Jurnal ilmu Matematika dan Terapan is one of the scientific publication media, which publish the article related to the result of research or study in the field of Pure Mathematics and Applied Mathematics. Focus and scope of BAREKENG: Jurnal ilmu Matematika dan Terapan, as follows: - Pure ...