Influence in the Elliptical Modified Ridge Regression

In this article, we present diagnostic methods for the modified ridge regression under elliptical model based on the pseudo-likelihood function. The maximum likelihood estimators of the parameters in the modified ridge elliptical model are given and local influence measures are developed. Finally, i...

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Bibliographic Details
Published in:Communications in statistics. Theory and methods 2014-11, Vol.43 (21), p.4650-4667
Main Authors: Amanullah, M., Pasha, G. R., Aslam, M.
Format: Article
Language:English
Subjects:
Diagnostic systems
Econometrics
Elliptical model
Illustrations
Local influence
Mathematical analysis
Mathematical models
Maximum likelihood estimators
Modified ridge regression
Monte Carlo simulation
Pseudo-likelihood
Regression
Ridges
Statistics
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Summary:In this article, we present diagnostic methods for the modified ridge regression under elliptical model based on the pseudo-likelihood function. The maximum likelihood estimators of the parameters in the modified ridge elliptical model are given and local influence measures are developed. Finally, illustration of our methodology is given through a numerical example.
ISSN:0361-0926
1532-415X
DOI:10.1080/03610926.2012.737497