The effect of high leverage points on VIF measures on noncollinear data / Nurul Bariyah Ibrahim... [et al.]

Ibrahim, Nurul Bariyah and Midi, Habshah (Prof Dr.) and Noor Ilanie Nordin, Noor Ilanie and Ismail, Nor Azima and Jauhari, Nur Elini and Mohamad Sobri, Norafefah (2016) The effect of high leverage points on VIF measures on noncollinear data / Nurul Bariyah Ibrahim... [et al.]. Journal of Mathematics and Computating Science, 1 (1). pp. 30-37. ISSN 0128-0767

Abstract

Multicollinearity is a case of multiple regression in which the predictor variables are highly correlated among themselves. The problem will get more complicated when multicollinearity exists together with high leverage points. The usage of classical VIF for multicollinearity diagnostics is not reliable as it is not resistant to the presence of high leverage points. In this study, we proposed RVIF which is based on the MM estimator in the detection of multicollinearity due to the high leverage point. The computation of RVIF is based on robust coefficient determination which is called RR2 (MM). We denote this estimator as RVIF (MM). The numerical results and Monte Carlo simulation study indicate that the CVIF performs poorly in the presence of high leverage point and the proposed RVIF is very resistant to the high leverage point and unable to detect the multicollinearity in the data.

Metadata

Item Type: Article
Creators:
CreatorsID Num. / Email
Ibrahim, Nurul Bariyahbariyah@kelantan.uitm.edu.my
Midi, Habshah (Prof Dr.)UNSPECIFIED
Noor Ilanie Nordin, Noor IlanieUNSPECIFIED
Ismail, Nor AzimaUNSPECIFIED
Jauhari, Nur EliniUNSPECIFIED
Mohamad Sobri, NorafefahUNSPECIFIED
Subjects: Q Science > QA Mathematics > Factor analysis. Principal components analysis. Correspondence analysis
Q Science > QA Mathematics > Analysis
Divisions: Universiti Teknologi MARA, Kelantan > Unit Penerbitan UiTM Kelantan
Journal or Publication Title: Journal of Mathematics and Computating Science
Journal: UiTM Journal > Journal of Mathematics and Computing Science
ISSN: 0128-0767
Volume: 1
Number: 1
Page Range: pp. 30-37
Official URL: http://jmcs.com.my/index.php/jmcs
Item ID: 24199
Uncontrolled Keywords: High leverage point, Multicollinearity, MM Estimator, Robust coefficient determinations,Variance Inflation Factors.
URI: http://ir.uitm.edu.my/id/eprint/24199

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