The performance comparison of two-step robust weighted least squares (TSRWLS) with different robust’s weight functions

Ghazali, Zulkifli Mohd; Halim, Muhammad Syawal Abd; Jamidin, Jaida Najihah

International Journal of Advanced and Applied Sciences

Int. j. adv. appl. sci.

EISSN: 2313-3724

Print ISSN: 2313-626X

Volume 4, Issue 5 (May 2017), Pages: 44-47

Title: The performance comparison of two-step robust weighted least squares (TSRWLS) with different robust’s weight functions

Author(s): Zulkifli Mohd Ghazali ^1,*, Muhammad Syawal Abd Halim ¹, Jaida Najihah Jamidin ²

Affiliation(s):

¹Faculty of Computer & Mathematical Sciences, Universiti Teknologi MARA, Tapah Campus, Perak, Malaysia
²Faculty of Computer & Mathematical Sciences, Universiti Teknologi MARA, Seremban 3 Campus, Negeri Sembilan, Malaysia

https://doi.org/10.21833/ijaas.2017.05.008

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Abstract:

The purpose of this paper is to compare the performance of Two-Step Robust Weighted Least Squares (TSRWLS) using three different Robust’s Weight Function namely Huber, Bisquare and Hampel. Previously, the procedure of TSRWLS only used Huber’s weight function as the second weight and this study serves to compare the performance of TSRWLS when the three different weight functions are used. The performance was evaluated based on real data and Monte-Carlo simulation study and the findings suggests that the performance of TSRWLS by using Huber, Bisquare and Hampel as the second weight is relatively close to one another with a fairly close standard error and almost identical values of biasness and root mean square error. Based on the result in the numerical example and simulation study, this study concluded that the performances of TSRWLS using all three weight functions performed equally. It is therefore suggested that any one of the three robust’s weight function can be used as the second weight in performing TSRWLS. However, the use of Huber’s weight function as the second weight in TSRWLS is recommended because of the simplicity of the function when compared against the other two weight functions.

This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).

Keywords: Heteroscedasticity, Outlier, Two-step robust weighted least, squares, Robust’s weight function

Article History: Received 20 January 2017, Received in revised form 9 March 2017, Accepted 8 April 2017

Digital Object Identifier:

https://doi.org/10.21833/ijaas.2017.05.008

Citation:

Ghazali ZM, Halim MSA, and Jamidin JN (2017). The performance comparison of two-step robust weighted least squares (TSRWLS) with different robust’s weight functions. International Journal of Advanced and Applied Sciences, 4(5): 44-47

http://www.science-gate.com/IJAAS/V4I5/Ghazali.html

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