# Modified Robust Ridge M-Estimators in Two-Parameter Ridge Regression Model

Authors: Seyab Yasin; Sultan Salem; Hamdi Ayed; Shahid Kamal; Muhammad Suhail; Yousaf Ali Khan
Journal: Mathematical Problems in Engineering
 (2021)

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## Abstract

The methods of two-parameter ridge and ordinary ridge regression are very sensitive to the presence of the joint problem of multicollinearity and outliers in they-direction. To overcome this problem, modified robust ridge M-estimators are proposed. The new estimators are then compared with the existing ones by means of extensive Monte Carlo simulations. According to mean squared error (MSE) criterion, the new estimators outperform the least square estimator, ridge regression estimator, and two-parameter ridge estimator in many considered scenarios. Two numerical examples are also presented to illustrate the simulation results.


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## Body

## 1. Introduction

The matrix form of the multiple linear regression model is(1)Y=Xβ+ε,where Yn×1 is the vector of the response variable, Xn×p is the matrix of predictor variables, βp×1 is the vector of unknown regression coefficients, and εn×1is the vector of disturbance term, such that ε∼N0,σ2. The ordinary least square (OLS) estimates of β is defined as:(2)β^=X′X−1X′Y.The estimatorβ^ is unbiased and has minimum variance among all the linear unbiased estimators. However, the performance of this estimator is poor in the presence of multicollinearity, such that it is statistically insignificant with large variance [1]. To cope with this issue, several alternatives have been developed. The first method is proposed by Ref. [2] and is defined as(3)β^k=X′X+kI−1X′Y=Tkβ^,where I is the identity matrix, k≥0 and Tk=X′X+kI−1X′X. To handle the problem of outliers, Ref.[3] derived a new estimator known as M-estimator (ME). M-estimator is defined as the solution of the equations ∑ψei/s=0 and ∑ψei/szi=0with ei=yi−ziβ^Ms being scale estimator for errors and ψ⋅ being a suitably chosen function.Ref. [4] illustrated that ridge regression (RR) is sensitive to outliers in the y-direction, hence developed a new robust ridge M-estimator (MRE) defined as(4)β^Mk=Tkβ^M,where β^M is M-estimator.According to Ref. [5], the quality of fit for RR is not good as compared to OLS. To overcome this deficiency, they developed a two-parameter ridge estimator (TPR) that always performs better than the ordinary RR. Also, TPR has good orthogonal properties between the residuals and predicted values of dependent variables. They defined TPR as(5)β^qk=qTkβ^,where(6)q=y′XX′X+kI−1X′yy′XX′X+kI−1X′XX′X+kI−1X′y.Later on, many researchers worked on TPR, see e.g., [6–13]. The selection of ridge M-estimator plays an important role to reduce the MSE of TPR in the presence of multicollinearity and outliers. Different ridge M-estimators have been proposed by various researchers. Some of them are Refs. [4, 8, 14–17]; and recently Ref. [18]. In case of near singularity and large number of outliers, the existing estimators do not perform well in terms of MSE. Therefore, the aim of this article was to continue the series of work on the selection of ridge M-estimator in TPR. Motivated by the work of Ref. [8] and following the idea of Ref. [1], we proposed the modified ridge M-estimators in TPR. The developed M-estimators provide the minimum MSE than OLS, RR, and existing TPR estimators for different levels of correlation, sample size, error variance, and outliers.The organization of this article is as follows: Section2 gave the review of estimators included in this study, new developed estimators for the selection of k and their comparison criterion. Section 3 included the simulation design that we have adopted in this article together with the discussion of simulation results and numerical examples. Concluding remarks are given in section 4.


## 2. Methodology

The canonical form of the model given in equation (1) can be written as(7)Y=Zα+ε,where Z=XT,α=T′β, and T′T=Ip, where T is the orthogonal matrix with the columns constituting the eigenvectors of X′X and Ip is the identity matrix and T′X′XT=Λ, where Λ=diagλ1,λ2,…,λp and λ1,λ2,…,λp>0 are the ordered eigenvalues of X′X. The estimators in canonical form are(8)α^=Λ−1Z′y,α^k=Λ+kI−1Z′y=T˜kα^,α^Mk=T˜kα^M,α^qk=q∗T˜kα^,α^qMk=q∗T˜kα^M,where q∗=y′ZΛ+kI−1Z′y/y′Z′Λ+kI−1ΛΛ+kI−1Z′y,T˜k=Λ+kI−1Λ and k>0.


### 2.1. Existing Estimators

(i)
RE⟶k^HK=σ^2/α^max2 [2].(ii)
RMERME⟶k^M=pA^2/α^′Mα^M [4].whereA^2=s2n−p−1∑i=1pψei/s2/∑i=1p1/nψ′ei/s2 [3].(iii)
TRME1⟶k˜>maxA^2/α^Mi2 and q^=∑i=1pα^Mi2λi/λi+k/∑i=1pA^2λi+α^Mi2λi/λi+k2 [8].(iv)
TRME2⟶ iterative method defined in the following Algorithm 1: [8].Algorithm 1: Iterative algorithm for modified two-parameter ridge estimators.
(i)
Calculatek˜>maxA^2/α^Mj2.(ii)
Estimateq^=∑j=1pα^M​j2λj/λj+k/∑j=1pA^2λj+α^M​j2λj2/λj+k2 using k˜ in (i).(iii)
Obtaink^=1/p∑j=1pqA^2λj+q−1λj2α^Mj2/λjα^Mj2 using q^ in (ii).(iv)
M1M1⟶k^M1=p/∑i=1pα^Mj2/λiα^Mi2A^2+A^4+A^2 [14].In general, ridge M-estimators available in the literature may not fully address the simultaneous occurrence of high multicollinearity and outliers in data. To resolve this issue, we propose some new ridge M-estimators in TPR that perform generally better than other existing estimators in most of the considered situations.


### 2.2. Performance Criterion

To examine the performance of our developed estimators with the existing estimators, we used the MSE criterion defined as(9)MSEβ^=Eβ^−β′β^−β=trvarβ^+biasβ^′biasβ^,where(10)varβ^=Eβ^−Eβ^β^−Eβ^′,biasβ^=Eβ^−β.The MSE of the above defined estimators is(11)MSEα^=σ2∑j=1p1λj,MSEα^M=∑j=1pΩjj,MSEα^k=σ2∑j=1pλjλj+k2+∑j=1pk2αj2λj+k2,MSEα^Mk=∑j=1pλj2λj+k2Ωjj+∑j=1pk2αj2λj+k2,MSEα^qk=q2σ2∑j=1pλjλj+k2+∑j=1pqλjλj+k−12αj2,MSEα^qMk=q2∑j=1pλj2λj+k2Ωjj+∑j=1pqλjλj+k−12αj2,where σ2 is error variance and Ω=covα^M where Ωjj are the diagonal elements of Ω. Ref. [8] proved that if Ωj​j<σ2λj−1forj=1,2,…,p, then MSEα^qMk<MSEα^qk for k>0 and MSEα^qMk<MSEα^Mk.


### 2.3. New Estimators

According to Ref. [8], the TPR is also sensitive to outliers in the y-direction as RR is. Thus, here we suggest modified ridge M-estimators (MTPM) in TPR. In a similar manner to TPR, the primary focus in MTPM is to find the suitable value of biasing parameter, which minimizes the MSE. By adopting the idea of Ref. [1], we multiply a quantity VMj=λj/α^Mj with K^ as suggested by Ref. [8]. Hence, the modified biasing parameter is(12)k^Mj=VMjK^,where K^=q^A^2λj+q^−1λj2α^Mj2/λjα^Mj2 and q^ defined in TRME1.Asλj is based on correlation, an increase in the degree of correlation causes an increase in the value of VMj. This increase in VMjwill lead to the larger value of k^Mj. Since many existing estimators did not provide a large enough value of k^Mj, this increase is required to obtain the suitable value of k^Mj to solve the problem of near singularity. The term α^Mj is used to deal with the outliers. Here, we have used Huber’s M-estimator.We proposed three new methods by taking arithmetic mean (AM), geometric mean (GM), and harmonic mean (HM) ofk^Mj, denoted by MTPM1, MTPM2, and MTPM3, respectively, and defined as(13)kAM∗=∑j=1pk^Mjp,kGM∗=∏j=1pk^Mj1/p,kHM∗=p∑j=1p1/k^Mj.Hence, the new modified two parameter ridge M-estimator is defined in the canonical form as(14)α˜qMk=q˜Tk∗α^M,where(15)q˜=∑j=1pα^Mj2λj/λj+k∗∑j=1pA^2λj+α^Mj2λj2/λj+k∗2,Tk∗=Λ+k∗I−1Λ,and k∗=kAM∗,kGM∗andkHM∗.Furthermore, through Algorithm1, we proposed the modified iterative two-parameter ridge estimators. The new modified iterative TPR is defined as(16)k^IMj=VMjk^,where k^ is from algorithm of TRME2. Now by taking the AM, GM, and HM of k^IMj three new estimators denoted by MTPM4, MTPM5, and MTPM6 are obtained and defined as(17)kIAM∗=∑j=1pk^IMjp,kIGM∗=∏j=1pk^IM​j1/p,kIHM∗=p∑j=1p1/k^IMj.The new modified iterative two parameter ridge M-estimator is defined in the canonical form as(18)α^IqMk=q˜ITI∗α^M,where(19)q˜I=∑j=1pα^Mj2λj/λj+kI∗∑j=1pA^2λj+α^Mj2λj2/λj+kI∗2,TI∗=Λ+kI∗I−1Λ,and kI∗=kIAM∗,kIGM∗andkIHM∗.


## 2.1. Existing Estimators

(i)
RE⟶k^HK=σ^2/α^max2 [2].(ii)
RMERME⟶k^M=pA^2/α^′Mα^M [4].whereA^2=s2n−p−1∑i=1pψei/s2/∑i=1p1/nψ′ei/s2 [3].(iii)
TRME1⟶k˜>maxA^2/α^Mi2 and q^=∑i=1pα^Mi2λi/λi+k/∑i=1pA^2λi+α^Mi2λi/λi+k2 [8].(iv)
TRME2⟶ iterative method defined in the following Algorithm 1: [8].Algorithm 1: Iterative algorithm for modified two-parameter ridge estimators.
(i)
Calculatek˜>maxA^2/α^Mj2.(ii)
Estimateq^=∑j=1pα^M​j2λj/λj+k/∑j=1pA^2λj+α^M​j2λj2/λj+k2 using k˜ in (i).(iii)
Obtaink^=1/p∑j=1pqA^2λj+q−1λj2α^Mj2/λjα^Mj2 using q^ in (ii).(iv)
M1M1⟶k^M1=p/∑i=1pα^Mj2/λiα^Mi2A^2+A^4+A^2 [14].In general, ridge M-estimators available in the literature may not fully address the simultaneous occurrence of high multicollinearity and outliers in data. To resolve this issue, we propose some new ridge M-estimators in TPR that perform generally better than other existing estimators in most of the considered situations.


## 2.2. Performance Criterion

To examine the performance of our developed estimators with the existing estimators, we used the MSE criterion defined as(9)MSEβ^=Eβ^−β′β^−β=trvarβ^+biasβ^′biasβ^,where(10)varβ^=Eβ^−Eβ^β^−Eβ^′,biasβ^=Eβ^−β.The MSE of the above defined estimators is(11)MSEα^=σ2∑j=1p1λj,MSEα^M=∑j=1pΩjj,MSEα^k=σ2∑j=1pλjλj+k2+∑j=1pk2αj2λj+k2,MSEα^Mk=∑j=1pλj2λj+k2Ωjj+∑j=1pk2αj2λj+k2,MSEα^qk=q2σ2∑j=1pλjλj+k2+∑j=1pqλjλj+k−12αj2,MSEα^qMk=q2∑j=1pλj2λj+k2Ωjj+∑j=1pqλjλj+k−12αj2,where σ2 is error variance and Ω=covα^M where Ωjj are the diagonal elements of Ω. Ref. [8] proved that if Ωj​j<σ2λj−1forj=1,2,…,p, then MSEα^qMk<MSEα^qk for k>0 and MSEα^qMk<MSEα^Mk.


## 2.3. New Estimators

According to Ref. [8], the TPR is also sensitive to outliers in the y-direction as RR is. Thus, here we suggest modified ridge M-estimators (MTPM) in TPR. In a similar manner to TPR, the primary focus in MTPM is to find the suitable value of biasing parameter, which minimizes the MSE. By adopting the idea of Ref. [1], we multiply a quantity VMj=λj/α^Mj with K^ as suggested by Ref. [8]. Hence, the modified biasing parameter is(12)k^Mj=VMjK^,where K^=q^A^2λj+q^−1λj2α^Mj2/λjα^Mj2 and q^ defined in TRME1.Asλj is based on correlation, an increase in the degree of correlation causes an increase in the value of VMj. This increase in VMjwill lead to the larger value of k^Mj. Since many existing estimators did not provide a large enough value of k^Mj, this increase is required to obtain the suitable value of k^Mj to solve the problem of near singularity. The term α^Mj is used to deal with the outliers. Here, we have used Huber’s M-estimator.We proposed three new methods by taking arithmetic mean (AM), geometric mean (GM), and harmonic mean (HM) ofk^Mj, denoted by MTPM1, MTPM2, and MTPM3, respectively, and defined as(13)kAM∗=∑j=1pk^Mjp,kGM∗=∏j=1pk^Mj1/p,kHM∗=p∑j=1p1/k^Mj.Hence, the new modified two parameter ridge M-estimator is defined in the canonical form as(14)α˜qMk=q˜Tk∗α^M,where(15)q˜=∑j=1pα^Mj2λj/λj+k∗∑j=1pA^2λj+α^Mj2λj2/λj+k∗2,Tk∗=Λ+k∗I−1Λ,and k∗=kAM∗,kGM∗andkHM∗.Furthermore, through Algorithm1, we proposed the modified iterative two-parameter ridge estimators. The new modified iterative TPR is defined as(16)k^IMj=VMjk^,where k^ is from algorithm of TRME2. Now by taking the AM, GM, and HM of k^IMj three new estimators denoted by MTPM4, MTPM5, and MTPM6 are obtained and defined as(17)kIAM∗=∑j=1pk^IMjp,kIGM∗=∏j=1pk^IM​j1/p,kIHM∗=p∑j=1p1/k^IMj.The new modified iterative two parameter ridge M-estimator is defined in the canonical form as(18)α^IqMk=q˜ITI∗α^M,where(19)q˜I=∑j=1pα^Mj2λj/λj+kI∗∑j=1pA^2λj+α^Mj2λj2/λj+kI∗2,TI∗=Λ+kI∗I−1Λ,and kI∗=kIAM∗,kIGM∗andkIHM∗.


## 3. Simulation Study

In this section, a simulation study is taken to check the performance of new and existing estimators.


### 3.1. Simulation Design

By following the simulation design of Refs. [8, 15], predictors are generated as(20)xi​j=1−δ21/2zi​j+δzi​p,i=1,2,…,n,j=1,2,…,p,where δ2 shows the correlation between two predictor variables and zi​j are pseudo random numbers generated using standard normal distribution. The response variable is generated as(21)yi=β0+β1xi1+β2xi2+⋯+βpxip+ui,i=1,2,…,n,where β0 is set to be zero and ui∼N0,σ2. This simulation experiment is carried out by randomly generating different factors that we consider in this study. The details are given below:(22)pnumber of predictors=4and10,nsample size=20,50and100,σ2error variance=0.1,1,5and10,δ2levels of correlation=0.85,0.95,0.99and0.999.To check the robustness of the newly proposed estimators against outliers, different percentages of outliers (10%, 20%, and 30%) in they-direction are generated using an error term ui∼N50,σ2, see Refs. [19, 20]. These simulation results based on 5000 replications and estimated MSE is calculated as(23)MSE^α^j=15000∑k=15000α^jk−αj′α^jk−αj.


### 3.2. Performance of New Proposed Estimators

In view of the results from Tables1–18 , we can get some conclusions:(i)
The estimated MSE of all considered estimators increases, asσ2 increases. In general, MTPM1 performs well as compared to other estimators.(ii)
For all sample sizes, MSE of all estimators decreases with increasing sample size from 20 to 100. Forn = 20, MTPM1 performs better, but as n increases MTPM4 also performs better than the existing estimators.(iii)
Estimated MSE of all estimators increases in accordance with the increase in the degree of correlation. Newly developed estimators MTPM1 and MTPM6 perform better in terms of smaller MSEs. There are few cases where M1 and TRME2 have better performance than the rest of the estimators.(iv)
The estimated MSE of all estimators increases with regard to increase in the number of predictors (p).(v)
As the percentage of outliers increases in the data, the estimated MSE of newly developed estimators decreases. MTPM1 outperforms the other estimators.(vi)
When there are multicollinearity and outliers in data, MTPM1 performs better than the other considered estimators. There are some cases in which M1 and TRME2 are better alternatives.(vii)
From these simulation results, we can conclude that in the presence of multicollinearity and outliers, MTPM1 and MPTM4 are best alternatives of the existing estimators.Table 1
Estimated MSE forn = 20, p=4, and 10% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.129.92740.050223.24040.02610.02160.01060.00830.00850.02310.00890.00840.00840.0086129.94450.141723.24200.06320.04950.02880.00930.01310.07740.01270.00940.01030.0127530.42983.391523.19251.78381.50591.46810.68181.42202.26340.78860.73810.95421.30061032.443413.117223.63507.11916.09156.20933.30077.06528.81033.39573.64934.86886.40710.950.197.11150.118174.86290.05170.04010.02040.00640.00990.07520.00870.00640.00690.0091197.23800.437574.92890.19900.15780.12510.03130.09150.28650.04990.03230.04280.0737598.376010.795874.26755.61844.71914.80341.81246.14137.17792.33442.03833.37995.113010105.498942.304576.329722.412318.971119.93218.079827.059828.22469.45869.709317.066623.76980.990.1494.53380.6391378.72780.40600.36270.42090.18430.44050.43670.23260.18670.24530.34551494.91222.3451378.73371.36561.19141.35490.51901.57441.56930.68760.53160.80231.22285503.299357.3636378.200130.961926.346428.680710.208138.839437.962013.735511.173323.561434.300610532.7590213.6679381.2322114.274597.1373105.523237.3810143.7064141.020348.293843.5950101.2758134.16820.9990.14969.13445.74043794.81733.19262.75303.11481.05613.93113.77961.47351.06161.67933.011014973.982122.56883796.939712.142210.366511.44083.768915.151914.79095.38053.80517.142212.683254995.4508540.77463730.1907281.9896239.2546258.569183.8542353.4930350.4758118.926687.5022245.6556339.7473105377.67502152.12313860.40201142.1380967.54221063.4883321.19691428.46561422.1817453.0490348.15261126.79811402.4136Table 2
Estimated MSE forn = 50, p=4, and 10% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.10.75850.03070.29130.02800.02740.02960.02510.02690.03050.02490.02550.02630.027110.76090.03440.29290.02640.02560.02730.02360.02400.02560.02140.02360.02380.024050.84130.15190.35250.05540.05030.04040.03020.03160.03990.02410.03030.03080.0313101.10150.52610.52860.18060.16350.13510.09540.10600.14870.07100.09600.09890.10230.950.11.37920.03220.35450.02640.02560.02820.02150.02290.02860.02280.02160.02210.022911.39220.04110.36600.02570.02450.02330.01890.01950.02330.01880.01900.01920.019551.64270.35830.55880.12690.11410.09210.05520.07110.12290.05740.05570.06020.0665102.42921.34961.01850.47540.42990.35390.22240.31830.48870.22890.22570.25450.28820.990.14.69790.05001.31550.03820.03690.03840.03300.03590.03930.03480.03310.03370.035114.73760.10241.32980.06310.06040.06100.04900.05700.06280.05260.04910.05070.053856.02501.70271.90350.73200.67280.61550.39700.68600.67290.45760.40050.47700.5607109.77606.36203.69702.56922.34612.09151.33642.50542.26301.54491.36061.77752.08970.9990.139.36350.203211.32360.10810.10150.09930.07380.10990.08370.08330.07390.07840.0858139.78800.706111.48960.32100.29490.27360.17760.32750.24960.20880.17780.20290.2431553.464416.292316.65566.64955.99775.34503.12346.26945.16223.82643.14804.52465.46471094.623365.226835.304826.346523.732021.203912.358523.801120.598215.092812.542319.682422.2968Table 3
Estimated MSE forn = 100, p=4, and 10% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.10.92750.03290.43400.03150.03100.03230.02720.02860.03100.02930.02740.02810.029010.92970.03820.43550.03420.03330.03540.03020.03080.03220.03110.03030.03060.030950.99160.16940.47690.10040.09640.09970.07230.07730.09630.06830.07250.07370.0754101.18430.54910.60330.27870.26370.26020.17220.19500.27160.16200.17320.17830.18520.950.13.25600.03691.60670.03390.03280.03470.02790.02930.03330.03050.02800.02840.029213.26540.05181.61360.04220.04070.04370.03400.03670.04290.03640.03410.03480.036153.47210.45531.75210.23470.21900.21650.12440.15890.24880.14040.12490.13120.1427104.10571.69732.15470.78430.72120.67060.34340.53470.85080.39960.34680.38220.44110.990.117.56290.04498.93160.02570.02370.02080.01640.01710.02750.01770.01640.01660.0169117.58240.09988.94140.04070.03580.02480.01550.01740.04750.01760.01550.01570.0164518.65282.02659.63280.77830.68360.52960.20910.54260.92570.28770.21030.24850.33831021.54028.027411.48393.19542.82522.34910.93602.88023.67921.26580.94571.23641.78950.9990.1180.63190.217093.17270.08060.06950.04930.02170.05200.10220.02810.02170.02290.02801181.13610.827293.50060.30830.26740.20380.07310.27200.37570.10460.07310.08250.12025190.130320.145799.04968.14357.16536.04142.57248.90188.93043.48052.58013.56995.670210225.909483.8263122.347034.755430.632826.417510.783838.495137.978514.702210.852117.260327.6589Table 4
Estimated MSE forn = 20, p=4, and 20% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.111.81240.07035.1810.02710.02580.01830.01090.01270.02930.01020.01100.01160.0129111.83120.21315.19560.06840.06480.04950.02030.03590.08060.02470.02160.02710.0368512.33814.43215.57221.68311.60241.38150.94101.51661.80050.93681.05171.28581.49461014.171111.31156.854.69424.32093.42072.63804.16825.23272.41872.85763.41283.99520.950.131.4220.150612.86670.04880.04590.03300.00950.02540.05920.01270.00990.01410.0247131.51190.566112.92020.19190.18130.15250.05360.15450.20460.07280.05930.10210.1516533.040612.45214.1394.95874.66764.0542.41464.9794.64192.55012.90274.18044.68981039.296132.800918.359613.687812.53479.85956.708414.198114.22176.77057.830911.196613.07730.990.1140.33180.758755.44640.39010.36930.35910.21650.39660.27900.26140.22230.32100.37281140.6192.797655.58951.29681.22611.16330.63981.27100.91870.77270.67501.09891.21395149.594361.19863.620526.392724.739921.907712.54724.294719.80713.850614.86224.717323.90010178.399158.420681.718369.209463.452851.755832.14370.228962.610234.601437.846464.508267.74640.9990.11315.5256.6983512.41023.02992.8312.67471.28642.54621.89251.64941.30832.61092.809211318.78326.1026518.487111.470410.719810.20124.66388.92977.15426.0094.831510.636310.179451387.456565.0867597.5064243.5939226.9272205.540496.7687181.1837165.0595119.0271109.1384236.7054197.67101720.9311556.154800.0413678.0977620.283492.9333269.8147619.7776591.5999319.3605307.8377675.9897642.3477Table 5
Estimated MSE forn = 50, p=4, and 20% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.11.00460.03160.34360.02680.02620.02920.02460.02600.02940.02280.02490.02550.026111.0070.03740.34460.02410.02330.02360.02000.02030.02170.01760.02010.02020.020451.08610.21820.40730.05580.05010.03520.02550.02690.03570.02020.02560.02610.0268101.34730.78710.58020.20880.19020.15160.11730.12760.17040.08430.11780.12140.12530.950.11.51210.03250.43320.02360.0230.02530.01890.01990.02490.01960.01900.01940.019911.52580.04410.43790.02130.02020.01730.01360.01390.01680.01350.01360.01370.013951.77310.45730.53110.12840.11540.09240.06160.07680.11910.06290.06210.06730.0743102.5641.75840.89090.54470.49910.4310.32000.41490.52510.30820.32320.35930.39650.990.15.33320.05821.26470.0450.04420.04520.04210.04390.04450.04210.04210.04270.043615.37120.12781.2750.0810.07880.07930.07100.07760.07680.07210.07100.07280.075656.66032.20041.64110.96150.90000.85690.66560.93380.73620.71250.67000.76810.82451010.46678.27523.07043.3613.12452.93752.24553.26492.31212.41492.27622.76462.8990.9990.153.0520.2679.82240.14630.13950.13710.11550.14900.09110.12490.11550.12210.1239153.46130.93279.92870.43160.40360.38280.29430.42300.24730.33080.29470.32960.344566.731821.309414.13458.75118.01797.35175.27006.98374.70846.0615.30916.68616.502210107.015784.422530.36134.091531.172128.612620.384824.839318.398923.344520.661226.731424.6425Table 6
Estimated MSE forn = 100, p=4, and 20% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.12.71190.03721.57770.03550.03480.03610.03090.03150.03270.03240.03090.03130.031712.71420.05021.57910.04460.04330.04580.03880.04020.04220.04110.03890.03960.040452.7740.36071.61030.21520.20490.22050.14730.16520.22080.15770.14840.15350.1605102.96261.26031.71440.66730.62560.64460.40470.48810.69670.42840.41000.43290.46250.950.19.8590.04726.05280.04290.04140.04360.03500.0380.04240.03860.03510.03620.037919.87080.08396.06130.06620.06340.06920.05010.0570.06970.05540.05030.05230.0556510.08061.09016.16830.57380.52590.5480.28910.41480.63060.35190.29170.31770.36331010.73154.15786.50882.01371.81761.81640.88181.5552.25621.09120.89881.05431.29250.990.154.37010.068134.43090.02710.02240.01060.00780.00780.03190.00790.00780.00780.0078154.38240.207834.42360.07140.05730.02960.00820.01320.09850.01280.00820.00860.0103555.52145.160434.97262.11491.80641.56030.57771.74362.64990.84810.58260.73991.10571058.148620.516336.06678.72987.53396.78732.63408.778110.60353.78592.67443.85535.9090.9990.1565.4740.5198363.40290.18890.15350.10210.02890.12500.27030.04730.02890.03260.05221566.1332.1078363.81080.83720.70050.57220.18430.81391.10060.28730.18460.2220.36975574.592853.0487366.557222.898119.601517.81077.075926.794727.616410.15897.108910.976618.553410613.5392216.4098387.950595.234781.851575.825229.854112.8437113.653642.609930.131555.301488.4608Table 7
Estimated MSE forn = 20, p=4, and 30% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.119.634917.64409.95967.35507.33877.46916.07297.90976.18045.80166.97497.78777.6471119.654817.81359.97027.44077.41447.51916.13748.00196.28945.87337.03157.85767.7398520.156819.932810.41398.89808.65548.40846.96049.48768.23016.71057.85778.94849.22041021.984823.112411.840810.914510.33719.24627.923110.729110.60077.30258.69139.815610.31400.950.156.996452.220428.225121.876921.616322.532015.402021.025116.002514.487020.266023.170619.6896157.093652.641828.464222.084821.795022.629915.588721.299616.295514.658320.408623.353519.9663558.593059.015230.739326.282025.333124.981917.956526.614821.921016.830022.582227.083925.32811064.923669.929735.330632.657530.607627.392720.752132.931229.656919.136825.049531.058231.20330.990.1273.8172255.3598146.4735112.4649110.0771117.160065.240981.583273.247968.501692.2531111.207783.15971274.0876257.4551146.4241113.3492110.8365117.468466.031882.804074.462969.138593.0513111.975384.38365282.9705294.5439154.3337135.9912130.1752129.619377.9042113.4549104.134478.8442104.7876137.0343115.449710311.5896343.4734172.5693163.8457152.9535138.535991.0598146.0081135.739088.0053116.9538160.5102146.07750.9990.12676.72882471.96781497.30051084.91561057.36811136.9282515.1581687.3880678.4272627.2289652.7648961.5072710.456712679.93742492.37671497.27851094.18671065.42371141.1425520.5305700.4929691.5172633.1840661.4029972.2813723.688052743.63622820.23331544.03921294.66571235.99411253.7144596.6097962.0827950.2034709.5270761.90321228.7157991.5623103083.78233405.60891751.03251623.63141507.24331359.6274723.77831350.13771330.7578810.9957906.92251594.68971387.0441Table 8
Estimated MSE forn = 50, p=4, and 30% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.11.21680.03230.34110.02390.02350.02680.02260.02330.02570.02070.02280.02300.023411.21920.04060.34200.01950.01910.01740.01540.01550.01630.01430.01540.01550.015651.29710.30320.38490.04580.04310.03010.02490.02580.03220.01850.02490.02530.0258101.56081.06960.54510.19460.18790.15160.13360.14000.16990.08450.13390.13630.13880.950.12.05890.03310.36050.01930.01900.01990.01610.01660.01960.01680.01610.01630.016612.07260.04830.36860.01490.01440.01170.01020.01030.01190.01020.01020.01030.010452.32110.58410.50570.11200.10860.09460.07980.08940.10330.07290.07990.08380.0882103.11492.19950.87000.53260.52170.48190.42260.48440.48090.37060.42380.44990.46820.990.16.76150.06421.16600.05040.05000.05090.04930.05030.04920.04620.04930.04970.050316.79740.14611.17060.09280.09210.09340.08900.09320.08380.08480.08900.09050.091658.09982.57631.51281.05401.03441.03520.93731.04530.62200.93430.94051.00190.95111011.88509.48262.81413.53943.45063.43073.08023.28871.75733.05323.10353.31442.97520.9990.157.33710.303310.20820.16710.16340.16560.15330.16360.07680.15940.15340.15770.1392157.60051.057410.20390.47930.46460.46800.41900.42340.17160.44130.41940.43370.3546570.971423.798912.82839.10588.73748.77537.67435.27852.56678.16647.71586.95664.868610112.545992.396725.629534.208032.680632.724128.366117.481910.479530.303428.622624.244216.9600Table 9
Estimated MSE forn = 100, p=4, and 30% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.13.34490.04181.77310.03890.03790.03930.03360.03410.03500.03470.03370.03390.034213.34740.06451.77500.05340.05180.05580.04530.04780.05150.04920.04550.04670.048353.40470.63481.81090.33170.31770.34470.21370.25230.35080.24150.21710.23010.2470103.59082.27071.93131.06271.00671.04850.61700.80061.14050.69290.63410.69410.76670.950.112.34450.05966.98300.05080.04880.05260.03970.04500.05230.04440.03990.04200.0453112.35720.12806.99270.08890.08500.09580.06150.07360.09690.07090.06190.06540.0716512.56412.07427.11440.95560.87930.93280.43140.72351.07160.56410.43980.51210.63091013.22327.93787.51223.41723.10973.16021.36082.87423.91441.82041.41421.84372.42530.990.168.74070.116940.42740.03620.02910.01020.00500.00510.04910.00550.00500.00500.0050168.75580.407740.42630.12630.10350.06140.01230.02910.18340.02410.01230.01380.0192569.894310.486641.05663.90283.38263.08070.98633.67125.07621.58411.00181.46252.43411072.444240.985742.327415.724513.721912.89234.347317.107519.91796.78604.47437.776312.49830.9990.1718.44941.0575430.48560.35150.29140.21220.05190.28590.51870.09530.05190.06220.11391719.18634.3493430.98321.58231.34321.16600.32601.69952.16100.56370.32660.42420.81045727.5877108.7339434.542242.199636.462634.349811.519052.222453.821018.346111.607821.700938.922610766.9152432.6482458.3362171.0409148.1112143.304647.0839214.1686216.530774.810747.8085110.5502177.7827Table 10
Estimated MSE forn = 20, p=10, and 10% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.190.30280.126052.69640.07220.06680.04330.01850.03520.07870.02200.01940.02410.0327190.09110.422652.48780.20510.18440.09220.03490.08790.24280.04790.03790.05310.0783592.836910.436554.11764.59274.03801.85220.88382.74716.03511.21951.10601.75812.419210103.484841.085161.142718.269315.95827.53563.909312.652924.28985.02975.24338.433811.18940.950.1276.09970.3408160.53050.16490.14700.07090.02010.09280.20810.03240.02090.03780.06781276.66521.3403161.02170.59940.52270.23220.06520.37210.80820.11870.07210.16120.27405285.257032.8959165.987314.183012.25135.55802.172611.982319.62883.44222.86216.84689.384710317.2783124.7314186.543853.506946.220520.99949.173250.310774.727013.355313.295430.015739.86920.990.11331.93451.6007771.53450.70000.60680.25330.07280.59880.95960.12950.07520.22020.378611332.33416.3826771.57782.70572.33430.97860.31982.58053.78250.56020.34091.12951.696251369.4252156.6853791.695066.582357.354324.903710.231278.676992.595315.772812.602941.840855.9108101525.2393605.6192891.6240256.1311220.719898.989443.9823324.4023356.240663.420361.1637189.0302249.22870.9990.111754.458215.69506662.87796.72195.73202.40270.82408.75129.43961.35500.84113.47545.0458111776.628164.14666680.366527.492023.34749.98473.656636.597438.79065.82033.799016.650423.3558512220.94251561.74326952.7963665.2483565.5803246.8486101.4521920.6514939.0568151.7494116.8905539.8239720.19921013442.10805949.32447723.14632552.51342175.1664956.6620409.27803538.78963571.3962586.9131519.91932347.13182984.5567Table 11
Estimated MSE forn = 50, p=10, and 10% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.13.14000.03051.68630.02380.02310.02360.01940.01980.02250.02080.01950.01960.019813.15610.04621.69200.02700.02580.02210.01900.01920.02190.01880.01900.01910.019253.46630.57231.89530.21110.19610.11090.07220.08330.15360.07160.07320.07650.0804104.52772.25672.58270.83100.77020.42430.26530.35170.68450.27130.27340.29920.32650.950.19.92140.04625.32670.03300.03160.02840.02210.02380.03240.02670.02210.02250.023119.96190.10345.34200.05580.05280.03960.02850.03310.05330.03600.02860.02960.0310511.13071.88696.11360.72690.67280.34770.18330.38910.73900.27840.18820.23990.29921014.30227.25758.15622.68362.48171.20270.60211.69192.80170.94100.63600.96071.25740.990.152.30890.117227.56760.04880.04560.02630.01780.03030.05410.02300.01780.01920.0216152.38590.392527.58350.14240.13130.05950.03000.09430.16110.04690.03010.03860.0519557.52789.349931.36163.30183.03741.26810.51152.95133.58690.92490.53221.32741.92471075.201837.589742.666713.319012.28545.24172.170312.643114.20203.92752.34687.19399.41930.9990.1537.28700.9777280.37960.34610.31760.13090.05470.34530.37220.08960.05490.11330.17981539.56183.9135281.10941.36991.25610.51740.20261.41591.44040.35200.20400.57720.88065592.052395.1437321.004733.911031.073612.95345.271035.356133.94548.98945.453923.681428.884310763.2005383.4488430.3889136.8452125.976954.075921.1317141.4128135.607436.072522.6733111.2358127.3903Table 12
Estimated MSE forn = 100, p=10, and 10% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME2MTPM1MTPM2MTPM3TRME1MTPM4MTPM5MTPM60.850.11.54570.02810.85120.02510.02480.02700.02070.02170.02440.02230.02090.02120.021711.54970.03460.85620.02550.02480.02510.02000.02030.02230.01980.02010.02020.020351.71680.26970.99770.09620.09020.04860.03390.03490.05670.02900.03400.03430.0347102.16530.99861.28640.32540.30300.14960.10470.11090.20710.08500.10530.10710.10980.950.15.14220.03282.67930.02550.02480.02550.01710.01830.02420.02030.01710.01740.017715.15010.05532.68260.03050.02930.02230.01580.01650.02570.01850.01580.01590.016255.61670.80433.06910.24980.23390.08890.04780.06200.21630.07150.04820.05160.0573107.14283.21134.08730.97560.91100.35030.18780.30130.96850.28580.19090.21900.26230.990.127.68450.072614.43240.03730.03560.02900.02460.02730.04000.02950.02460.02500.0259127.72210.198514.45060.07550.07100.04590.03600.04560.08520.04640.03600.03750.0403530.39514.325916.22911.29781.20310.49010.28510.83261.65930.45250.28780.39170.53591037.994816.980621.28715.04124.67651.81320.98053.68256.44841.61901.00141.72392.44750.9990.1286.89010.4413149.78510.14030.13130.04790.02210.11580.17580.03440.02210.02960.04621287.78251.7449150.31690.51050.47460.15640.06610.43440.66420.11260.06630.11850.20185312.571142.2094165.735312.348711.46213.96201.830812.325015.25963.08481.85355.71308.130310391.1042169.4866218.896649.488745.888216.22407.759852.682160.495312.63237.961128.506836.5864Table 13
Estimated MSE forn = 20, p=10, and 20% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.1273.4793156.7689206.109486.165377.099543.667421.697187.8649113.864536.135740.11467.866886.87451273.0539157.4089205.595786.218577.174142.936821.725187.9107114.047935.827940.098167.797286.8235275.4729157.4634205.477985.615676.83737.786620.637680.175110.768431.360935.060158.245175.30510286.5291182.217209.317398.92387.239543.866123.850190.6212127.559433.330739.208664.050683.2120.950.1819.1836455.426612.785246.591221.5231127.556553.7494315.4418325.223792.1506105.9181226.5454284.76211819.9241459.3204613.2985247.6881222.4191125.732354.2189317.7502327.572390.9346107.0494228.1556286.93295827.7403462.5611613.419248.1087222.9635109.310655.1827301.6026321.909681.5994100.7558208.9254263.93310860.5311534.6709623.4981283.2951249.8283120.643560.6973337.4342368.317185.6961109.0555225.2578288.89460.990.13901.2962150.3312901.2491165.6271051.513624.9954231.7951534.7141517.236434.0425400.81361227.7981467.7313901.2242167.9162899.9961170.0291055.25614.6947233.31611544.1551526.87427.0813407.40481238.5021477.91153930.6122169.2532892.8131168.5331054.01531.9327250.32521499.7761491.422371.725431.51451200.7671410.728104093.1322522.2742942.7571339.3981184.609580.171276.62471721.7551716.665388.6839475.8911319.4921580.7150.9990.134369.1120559.6425211.4511310.8310175.826176.9122128.20314561.1314550.914296.5992775.70813400.4414661.01134395.9720732.6325226.411355.6810211.266092.7532131.21314663.914653.834227.3872803.21313509.5814757.11534854.4420888.8425348.7511428.2310263.135268.5452313.52814461.0714455.433601.3973343.45813395.1314349.821035984.1424046.0825578.8813055.7811492.345758.7282525.17216536.6516525.083696.6333712.09214860.0916222.84Table 14
Estimated MSE forn = 50, p=10, and 20% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.12.77610.03230.99770.02450.02390.02460.02100.02130.02350.02220.02110.02120.021312.78920.05081.00110.02870.02780.02570.02280.02300.02540.02150.02280.02290.023053.1120.64211.15050.20580.19320.12290.09170.1010.15360.08040.09260.09550.099104.14542.46811.71150.75130.70320.41590.29740.35980.59420.25030.30380.32440.34610.950.18.27610.04553.18290.02780.02670.02370.01940.02040.0270.02250.01940.01960.020018.30880.10453.19330.04460.04230.03020.02300.02580.04060.02770.02310.02370.024759.38761.99193.56650.6030.56120.27270.15560.31090.58010.23080.15960.20170.25031012.74557.75045.29542.28092.12290.99190.55771.40082.21570.81130.58650.85861.09260.990.142.02010.126715.57030.05030.04760.03130.02340.03700.05200.03000.02340.02550.0287142.16350.427515.58430.13850.12950.06750.04140.10460.14120.06130.04160.05240.0679547.47379.984817.72722.90762.6981.17290.57212.60982.81450.99110.59471.38031.86841065.056839.60826.777511.463910.66564.52552.261910.512710.58673.95382.44766.95818.55960.9990.1425.95811.0527150.99380.32270.29940.13760.07260.31150.28680.11160.07290.14710.21041427.72584.1515151.32411.21111.12110.48080.23771.16721.05430.38490.23950.64410.88375481.2639100.9849175.938229.43227.202811.45945.470627.091224.11589.01965.701122.71925.648910654.8952403.9386269.8719117.5676108.636947.149521.5542104.962895.829136.026823.395698.8043105.13Table 15
Estimated MSE forn = 100, p=10, and 20% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.13.24510.02532.75550.02030.01980.01730.01330.01340.01410.01140.01330.01330.013413.25090.03462.75910.02010.01890.00760.00410.00410.00470.00560.00410.00410.004153.41730.48862.84460.22640.20420.10990.07650.08130.12370.10680.0770.07880.0814103.85931.95413.03360.95630.87040.5470.43150.46490.67050.53110.43440.44690.46380.950.19.37410.03127.82760.01970.01880.00880.00580.00560.00760.00530.00580.00580.005719.38730.06767.83420.03040.02770.00660.00210.00220.01160.00480.00210.00210.002159.8471.48198.02070.68930.62340.33240.23510.31290.5760.38810.23720.26090.2961011.39085.9518.67582.88542.62141.53571.16311.68982.56811.81011.18031.36081.57440.990.146.40890.12937.47220.08790.08280.07020.06520.07130.08390.08010.06520.06660.0691146.46450.385337.49110.22990.21310.16480.14520.18200.21310.18790.14540.15380.1668549.11918.100338.50634.15013.7832.47591.99253.63763.47762.82342.00992.63223.10641056.829831.57241.460715.750114.34538.98817.075013.943712.532310.16097.216310.846912.34470.9990.1464.21420.7394359.92630.32340.28960.13190.07790.28650.25680.11860.07800.12030.17931464.80623.0143359.86761.36791.23160.64960.44201.21110.98620.63210.44320.73640.95975491.26977.486369.547137.697534.022919.883615.028730.078123.742120.075715.207529.535730.836710569.9381305.4332398.1864148.8783134.556480.606661.1582111.23192.161281.292562.5972120.4841119.1042Table 16
Estimated MSE forn = 20, p=10, and 30% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.1205.7834141.637899.980167.869765.079048.336321.821372.123879.272832.664338.874961.242472.68741205.4415142.946999.703167.890965.196647.785821.860172.020279.116132.787438.924461.228672.59185207.9705159.4720101.749970.691868.349137.262221.341070.172980.827132.137435.926457.019768.632510218.9210183.6254110.534481.240277.288637.272623.130875.028694.608231.881836.518657.161870.26390.950.1613.7642410.5140293.4535195.5390187.8605140.789952.7384234.7824222.747785.7302101.9153194.9430223.89021614.4291416.7934293.9398196.3216188.8401138.750052.8830235.7429223.908786.2712102.4222195.6178224.73755622.5571468.0620300.3344205.5723198.4699105.915855.6603238.6753232.358882.7148103.2003191.6737222.013810654.9862541.4709326.3308233.9611222.5775103.322260.4464263.8341270.186384.3826106.2509198.5806236.41390.990.12926.80091939.70281385.7818930.7545894.3956680.1648226.23641063.60661031.5670409.5610388.39741004.82221089.100912927.00061969.31801385.9845933.6852898.4241666.3663226.71991067.65641035.2800412.0722390.79771007.48891092.270652959.46662210.82921414.5044971.8431938.4028505.7410246.44591102.85161070.2247376.2312436.25681017.08011100.7011103119.75242572.01061535.73471108.71571054.0945497.7095278.98441283.16391254.6899380.3297484.77971106.73421229.28800.9990.126020.083618582.516212070.58419037.50948646.24876631.32302074.93259955.27599938.18004074.85082703.337210325.275410375.6674126044.208218859.407912090.52359064.01068681.59096482.23982075.229010002.07129984.81184091.77022710.731810357.746410418.9171526505.231921286.417412462.25589508.91019121.25755013.96542242.395410510.221510491.28443651.47173270.234710607.126610747.17251027685.945324442.721213413.678710782.853810169.50934884.29332535.007612190.711212176.77423581.61823848.437511736.124812228.1869Table 17
Estimated MSE forn = 50, p=10, and 30% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.12.80340.04180.62650.03010.02960.02950.02780.02790.02960.02840.02780.02790.027912.81610.07690.64330.04470.04420.04360.04090.04130.04420.03770.04100.04110.041353.13861.05380.83650.40120.38740.32540.28830.30420.36620.23720.28950.29520.3015104.18623.77631.36571.31621.26220.97930.84680.94181.19570.70120.85480.88910.92340.950.18.28240.04571.86040.02050.01910.01040.00830.00850.01240.00900.00830.00830.008418.31980.12651.88040.03930.03570.01230.00740.00880.02420.01110.00740.00770.008459.41772.95512.45660.90210.83660.43320.31130.53470.78750.45010.31700.38760.45821012.720011.14744.11543.49533.26111.83811.39452.55223.00081.88561.44091.88912.18550.990.142.14460.20388.76280.09380.09010.07570.06650.08860.08020.08360.06660.07210.0783142.27140.68398.97790.26690.25260.18630.15550.25110.21030.21150.15620.18550.2105547.424715.424912.08445.16984.81722.96032.29444.53833.33483.33752.35333.76454.07581065.186858.192021.015918.993517.703110.41427.940115.663211.462111.61538.393114.573914.88440.9990.1428.44071.662994.32980.60420.56520.38150.30480.48170.31270.39310.30580.46540.49181430.45566.490194.82352.19812.04351.26750.97111.57861.10621.28890.97781.71351.73675483.3848154.7984122.970150.499146.715927.174520.105629.698124.268727.073720.840838.982235.569210657.2009589.6618211.8361190.5493176.2327100.378274.6610106.679492.7202100.713579.9923143.9978128.5776Table 18
Estimated MSE forn = 100, p=10, and 30% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.18.48260.03945.19480.02760.02710.02580.01890.01940.02310.01460.01890.01910.019318.48550.08905.19650.04050.03950.01770.00910.00930.01710.00820.00920.00920.009358.67801.84005.33010.55530.52560.15670.09690.10570.35020.09010.09800.10110.1057109.09546.50975.60271.94971.83890.63840.44470.50221.46240.39450.45120.47020.49690.950.128.47590.078217.22400.03740.03690.01780.00800.00820.02620.00800.00800.00800.0080128.47060.250917.21810.08360.08070.01570.00380.00450.06320.00700.00380.00390.0042528.89616.010717.48791.66541.57100.37550.19870.36571.94000.34530.20400.25180.32371030.459121.566818.55725.99245.63671.52120.90411.97787.71181.45770.94131.25741.65090.990.1150.17930.365490.35450.11560.10780.06500.05610.07060.16290.07150.05620.05910.06401150.15691.326390.32600.37400.34910.15220.11940.20770.56510.16840.11990.13660.16275153.083432.045192.34458.60568.04192.40321.55355.818214.09762.51461.59922.95894.141610160.5987115.036997.296031.122329.06998.28265.101722.845251.19518.44745.415512.486016.89580.9990.11527.94233.1511917.93340.85190.80590.14440.05470.68491.40540.10930.05500.15700.307211529.137612.8061918.77793.39803.19540.65570.31713.13695.75480.56100.32011.02391.681751554.1906319.8589935.801285.543880.375219.859111.3013111.3797143.532118.263111.724349.124165.9755101630.16491130.8124985.2088304.0284285.244974.446642.7931428.2197507.485167.075046.0316206.8277271.0353


### 3.3. Real-Life Applications

Example 1.
We consider the Tobacco data of Ref. [21] to show the performance of newly modified estimators. The data contain four predictor variables with 30 observations. Condition number is 1892.33 which shows severe multicollinearity. Considering the following linear model: (24)Y=β0+β1X1+β2X2+β3X3+β4X4+ei,i=1,2,…,n.
The eigenvalues areλ1=3.9739, λ2=0.0176, λ3=0.0064, and λ4=0.0021. The calculated value of error variance is 0.223. The correlation among the predictor variables is shown in Table 19. The data contain two outliers in the y-direction. Estimated MSE and regression coefficients for tobacco data are presented in Table 20. From the result, it is noticed that MTPM3 has the smallest MSE among all the considered estimators.Table 19
Correlation between the predictor variables for tobacco data.
X1X2X3X4X110.9890.9970.996X20.98910.9850.987X30.9970.98510.994X40.9960.9870.9941Table 20
Estimated MSE and the regression coefficients for tobacco data.
EstimatorsMSEβ1β2β3β4OLS1.165421.5074−0.5211−0.84160.8217HK0.893530.4856−0.64270.9521.0434M0.238221.0274−0.4790−0.6781.1030MRE0.250071.0273−0.4664−0.63130.9036M10.967221.0274−0.4006−0.39000.3100TRME10.390931.1639−0.4994−0.62010.7300TRME23.393581.1263−0.0629−0.03490.0197MTPM13.678820.4870−0.00380.00220.0010MTPM21.4221330.6084−0.57980.59750.3818MTPM30.225880.4627−0.63631.00371.2982MTPM43.671110.4879−0.00610.00350.0016MTPM53.438830.5114−0.07460.04620.0214MTPM62.468830.5789−0.34140.27100.1420Example 2.
The second example is of water quality data taken from the Pakistan Council of Research in Water Resources (PCRWR) for the year 2014–2015. We consider four predictors each with 31 observations. Predictor variables are HCO3, SO4, Na, and EC, while response variable is TDS. The estimated error variance is 0.111 and eigenvalues areλ1=3.3024, λ2=0.6599, λ3=0.0210, and λ4=0.0166. Condition number is 157.257, which shows strong multicollinearity. Table 21 shows the correlation among the predictors. The outliers are present in the y-direction. The estimated MSE and regression coefficients are shown in Table 22. The results indicated that MTPM3 is a good choice among the other estimators.Table 21
Correlation between the predictor variables for water quality data.
X1X2X3X4X110.9050.6860.976X20.90510.3560.87X30.6860.35610.738X40.9760.870.7381Table 22
Estimated MSE and the regression coefficients for water quality data.
EstimatorsMSEβ1β2β3β4OLS0.0908340.29440.16450.11110.4784HK0.0698480.54680.03530.15250.1338M0.0335520.48830.09660.08750.3723MRE0.0257850.48780.09620.07630.3136M10.1541910.4880.09530.03080.1098TRME10.2172820.48710.09260.01830.0635TRME20.0302360.53860.10170.03370.1221MTPM10.0542690.5530.00860.00140.001MTPM20.0513230.56090.02150.00630.0045MTPM30.0226280.58630.03740.11970.099MTPM40.0431410.52330.08930.01290.0448MTPM50.0541050.55360.00960.00160.0012MTPM60.0528740.55680.01520.00320.0023


## 3.1. Simulation Design

By following the simulation design of Refs. [8, 15], predictors are generated as(20)xi​j=1−δ21/2zi​j+δzi​p,i=1,2,…,n,j=1,2,…,p,where δ2 shows the correlation between two predictor variables and zi​j are pseudo random numbers generated using standard normal distribution. The response variable is generated as(21)yi=β0+β1xi1+β2xi2+⋯+βpxip+ui,i=1,2,…,n,where β0 is set to be zero and ui∼N0,σ2. This simulation experiment is carried out by randomly generating different factors that we consider in this study. The details are given below:(22)pnumber of predictors=4and10,nsample size=20,50and100,σ2error variance=0.1,1,5and10,δ2levels of correlation=0.85,0.95,0.99and0.999.To check the robustness of the newly proposed estimators against outliers, different percentages of outliers (10%, 20%, and 30%) in they-direction are generated using an error term ui∼N50,σ2, see Refs. [19, 20]. These simulation results based on 5000 replications and estimated MSE is calculated as(23)MSE^α^j=15000∑k=15000α^jk−αj′α^jk−αj.


## 3.2. Performance of New Proposed Estimators

In view of the results from Tables1–18 , we can get some conclusions:(i)
The estimated MSE of all considered estimators increases, asσ2 increases. In general, MTPM1 performs well as compared to other estimators.(ii)
For all sample sizes, MSE of all estimators decreases with increasing sample size from 20 to 100. Forn = 20, MTPM1 performs better, but as n increases MTPM4 also performs better than the existing estimators.(iii)
Estimated MSE of all estimators increases in accordance with the increase in the degree of correlation. Newly developed estimators MTPM1 and MTPM6 perform better in terms of smaller MSEs. There are few cases where M1 and TRME2 have better performance than the rest of the estimators.(iv)
The estimated MSE of all estimators increases with regard to increase in the number of predictors (p).(v)
As the percentage of outliers increases in the data, the estimated MSE of newly developed estimators decreases. MTPM1 outperforms the other estimators.(vi)
When there are multicollinearity and outliers in data, MTPM1 performs better than the other considered estimators. There are some cases in which M1 and TRME2 are better alternatives.(vii)
From these simulation results, we can conclude that in the presence of multicollinearity and outliers, MTPM1 and MPTM4 are best alternatives of the existing estimators.Table 1
Estimated MSE forn = 20, p=4, and 10% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.129.92740.050223.24040.02610.02160.01060.00830.00850.02310.00890.00840.00840.0086129.94450.141723.24200.06320.04950.02880.00930.01310.07740.01270.00940.01030.0127530.42983.391523.19251.78381.50591.46810.68181.42202.26340.78860.73810.95421.30061032.443413.117223.63507.11916.09156.20933.30077.06528.81033.39573.64934.86886.40710.950.197.11150.118174.86290.05170.04010.02040.00640.00990.07520.00870.00640.00690.0091197.23800.437574.92890.19900.15780.12510.03130.09150.28650.04990.03230.04280.0737598.376010.795874.26755.61844.71914.80341.81246.14137.17792.33442.03833.37995.113010105.498942.304576.329722.412318.971119.93218.079827.059828.22469.45869.709317.066623.76980.990.1494.53380.6391378.72780.40600.36270.42090.18430.44050.43670.23260.18670.24530.34551494.91222.3451378.73371.36561.19141.35490.51901.57441.56930.68760.53160.80231.22285503.299357.3636378.200130.961926.346428.680710.208138.839437.962013.735511.173323.561434.300610532.7590213.6679381.2322114.274597.1373105.523237.3810143.7064141.020348.293843.5950101.2758134.16820.9990.14969.13445.74043794.81733.19262.75303.11481.05613.93113.77961.47351.06161.67933.011014973.982122.56883796.939712.142210.366511.44083.768915.151914.79095.38053.80517.142212.683254995.4508540.77463730.1907281.9896239.2546258.569183.8542353.4930350.4758118.926687.5022245.6556339.7473105377.67502152.12313860.40201142.1380967.54221063.4883321.19691428.46561422.1817453.0490348.15261126.79811402.4136Table 2
Estimated MSE forn = 50, p=4, and 10% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.10.75850.03070.29130.02800.02740.02960.02510.02690.03050.02490.02550.02630.027110.76090.03440.29290.02640.02560.02730.02360.02400.02560.02140.02360.02380.024050.84130.15190.35250.05540.05030.04040.03020.03160.03990.02410.03030.03080.0313101.10150.52610.52860.18060.16350.13510.09540.10600.14870.07100.09600.09890.10230.950.11.37920.03220.35450.02640.02560.02820.02150.02290.02860.02280.02160.02210.022911.39220.04110.36600.02570.02450.02330.01890.01950.02330.01880.01900.01920.019551.64270.35830.55880.12690.11410.09210.05520.07110.12290.05740.05570.06020.0665102.42921.34961.01850.47540.42990.35390.22240.31830.48870.22890.22570.25450.28820.990.14.69790.05001.31550.03820.03690.03840.03300.03590.03930.03480.03310.03370.035114.73760.10241.32980.06310.06040.06100.04900.05700.06280.05260.04910.05070.053856.02501.70271.90350.73200.67280.61550.39700.68600.67290.45760.40050.47700.5607109.77606.36203.69702.56922.34612.09151.33642.50542.26301.54491.36061.77752.08970.9990.139.36350.203211.32360.10810.10150.09930.07380.10990.08370.08330.07390.07840.0858139.78800.706111.48960.32100.29490.27360.17760.32750.24960.20880.17780.20290.2431553.464416.292316.65566.64955.99775.34503.12346.26945.16223.82643.14804.52465.46471094.623365.226835.304826.346523.732021.203912.358523.801120.598215.092812.542319.682422.2968Table 3
Estimated MSE forn = 100, p=4, and 10% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.10.92750.03290.43400.03150.03100.03230.02720.02860.03100.02930.02740.02810.029010.92970.03820.43550.03420.03330.03540.03020.03080.03220.03110.03030.03060.030950.99160.16940.47690.10040.09640.09970.07230.07730.09630.06830.07250.07370.0754101.18430.54910.60330.27870.26370.26020.17220.19500.27160.16200.17320.17830.18520.950.13.25600.03691.60670.03390.03280.03470.02790.02930.03330.03050.02800.02840.029213.26540.05181.61360.04220.04070.04370.03400.03670.04290.03640.03410.03480.036153.47210.45531.75210.23470.21900.21650.12440.15890.24880.14040.12490.13120.1427104.10571.69732.15470.78430.72120.67060.34340.53470.85080.39960.34680.38220.44110.990.117.56290.04498.93160.02570.02370.02080.01640.01710.02750.01770.01640.01660.0169117.58240.09988.94140.04070.03580.02480.01550.01740.04750.01760.01550.01570.0164518.65282.02659.63280.77830.68360.52960.20910.54260.92570.28770.21030.24850.33831021.54028.027411.48393.19542.82522.34910.93602.88023.67921.26580.94571.23641.78950.9990.1180.63190.217093.17270.08060.06950.04930.02170.05200.10220.02810.02170.02290.02801181.13610.827293.50060.30830.26740.20380.07310.27200.37570.10460.07310.08250.12025190.130320.145799.04968.14357.16536.04142.57248.90188.93043.48052.58013.56995.670210225.909483.8263122.347034.755430.632826.417510.783838.495137.978514.702210.852117.260327.6589Table 4
Estimated MSE forn = 20, p=4, and 20% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.111.81240.07035.1810.02710.02580.01830.01090.01270.02930.01020.01100.01160.0129111.83120.21315.19560.06840.06480.04950.02030.03590.08060.02470.02160.02710.0368512.33814.43215.57221.68311.60241.38150.94101.51661.80050.93681.05171.28581.49461014.171111.31156.854.69424.32093.42072.63804.16825.23272.41872.85763.41283.99520.950.131.4220.150612.86670.04880.04590.03300.00950.02540.05920.01270.00990.01410.0247131.51190.566112.92020.19190.18130.15250.05360.15450.20460.07280.05930.10210.1516533.040612.45214.1394.95874.66764.0542.41464.9794.64192.55012.90274.18044.68981039.296132.800918.359613.687812.53479.85956.708414.198114.22176.77057.830911.196613.07730.990.1140.33180.758755.44640.39010.36930.35910.21650.39660.27900.26140.22230.32100.37281140.6192.797655.58951.29681.22611.16330.63981.27100.91870.77270.67501.09891.21395149.594361.19863.620526.392724.739921.907712.54724.294719.80713.850614.86224.717323.90010178.399158.420681.718369.209463.452851.755832.14370.228962.610234.601437.846464.508267.74640.9990.11315.5256.6983512.41023.02992.8312.67471.28642.54621.89251.64941.30832.61092.809211318.78326.1026518.487111.470410.719810.20124.66388.92977.15426.0094.831510.636310.179451387.456565.0867597.5064243.5939226.9272205.540496.7687181.1837165.0595119.0271109.1384236.7054197.67101720.9311556.154800.0413678.0977620.283492.9333269.8147619.7776591.5999319.3605307.8377675.9897642.3477Table 5
Estimated MSE forn = 50, p=4, and 20% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.11.00460.03160.34360.02680.02620.02920.02460.02600.02940.02280.02490.02550.026111.0070.03740.34460.02410.02330.02360.02000.02030.02170.01760.02010.02020.020451.08610.21820.40730.05580.05010.03520.02550.02690.03570.02020.02560.02610.0268101.34730.78710.58020.20880.19020.15160.11730.12760.17040.08430.11780.12140.12530.950.11.51210.03250.43320.02360.0230.02530.01890.01990.02490.01960.01900.01940.019911.52580.04410.43790.02130.02020.01730.01360.01390.01680.01350.01360.01370.013951.77310.45730.53110.12840.11540.09240.06160.07680.11910.06290.06210.06730.0743102.5641.75840.89090.54470.49910.4310.32000.41490.52510.30820.32320.35930.39650.990.15.33320.05821.26470.0450.04420.04520.04210.04390.04450.04210.04210.04270.043615.37120.12781.2750.0810.07880.07930.07100.07760.07680.07210.07100.07280.075656.66032.20041.64110.96150.90000.85690.66560.93380.73620.71250.67000.76810.82451010.46678.27523.07043.3613.12452.93752.24553.26492.31212.41492.27622.76462.8990.9990.153.0520.2679.82240.14630.13950.13710.11550.14900.09110.12490.11550.12210.1239153.46130.93279.92870.43160.40360.38280.29430.42300.24730.33080.29470.32960.344566.731821.309414.13458.75118.01797.35175.27006.98374.70846.0615.30916.68616.502210107.015784.422530.36134.091531.172128.612620.384824.839318.398923.344520.661226.731424.6425Table 6
Estimated MSE forn = 100, p=4, and 20% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.12.71190.03721.57770.03550.03480.03610.03090.03150.03270.03240.03090.03130.031712.71420.05021.57910.04460.04330.04580.03880.04020.04220.04110.03890.03960.040452.7740.36071.61030.21520.20490.22050.14730.16520.22080.15770.14840.15350.1605102.96261.26031.71440.66730.62560.64460.40470.48810.69670.42840.41000.43290.46250.950.19.8590.04726.05280.04290.04140.04360.03500.0380.04240.03860.03510.03620.037919.87080.08396.06130.06620.06340.06920.05010.0570.06970.05540.05030.05230.0556510.08061.09016.16830.57380.52590.5480.28910.41480.63060.35190.29170.31770.36331010.73154.15786.50882.01371.81761.81640.88181.5552.25621.09120.89881.05431.29250.990.154.37010.068134.43090.02710.02240.01060.00780.00780.03190.00790.00780.00780.0078154.38240.207834.42360.07140.05730.02960.00820.01320.09850.01280.00820.00860.0103555.52145.160434.97262.11491.80641.56030.57771.74362.64990.84810.58260.73991.10571058.148620.516336.06678.72987.53396.78732.63408.778110.60353.78592.67443.85535.9090.9990.1565.4740.5198363.40290.18890.15350.10210.02890.12500.27030.04730.02890.03260.05221566.1332.1078363.81080.83720.70050.57220.18430.81391.10060.28730.18460.2220.36975574.592853.0487366.557222.898119.601517.81077.075926.794727.616410.15897.108910.976618.553410613.5392216.4098387.950595.234781.851575.825229.854112.8437113.653642.609930.131555.301488.4608Table 7
Estimated MSE forn = 20, p=4, and 30% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.119.634917.64409.95967.35507.33877.46916.07297.90976.18045.80166.97497.78777.6471119.654817.81359.97027.44077.41447.51916.13748.00196.28945.87337.03157.85767.7398520.156819.932810.41398.89808.65548.40846.96049.48768.23016.71057.85778.94849.22041021.984823.112411.840810.914510.33719.24627.923110.729110.60077.30258.69139.815610.31400.950.156.996452.220428.225121.876921.616322.532015.402021.025116.002514.487020.266023.170619.6896157.093652.641828.464222.084821.795022.629915.588721.299616.295514.658320.408623.353519.9663558.593059.015230.739326.282025.333124.981917.956526.614821.921016.830022.582227.083925.32811064.923669.929735.330632.657530.607627.392720.752132.931229.656919.136825.049531.058231.20330.990.1273.8172255.3598146.4735112.4649110.0771117.160065.240981.583273.247968.501692.2531111.207783.15971274.0876257.4551146.4241113.3492110.8365117.468466.031882.804074.462969.138593.0513111.975384.38365282.9705294.5439154.3337135.9912130.1752129.619377.9042113.4549104.134478.8442104.7876137.0343115.449710311.5896343.4734172.5693163.8457152.9535138.535991.0598146.0081135.739088.0053116.9538160.5102146.07750.9990.12676.72882471.96781497.30051084.91561057.36811136.9282515.1581687.3880678.4272627.2289652.7648961.5072710.456712679.93742492.37671497.27851094.18671065.42371141.1425520.5305700.4929691.5172633.1840661.4029972.2813723.688052743.63622820.23331544.03921294.66571235.99411253.7144596.6097962.0827950.2034709.5270761.90321228.7157991.5623103083.78233405.60891751.03251623.63141507.24331359.6274723.77831350.13771330.7578810.9957906.92251594.68971387.0441Table 8
Estimated MSE forn = 50, p=4, and 30% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.11.21680.03230.34110.02390.02350.02680.02260.02330.02570.02070.02280.02300.023411.21920.04060.34200.01950.01910.01740.01540.01550.01630.01430.01540.01550.015651.29710.30320.38490.04580.04310.03010.02490.02580.03220.01850.02490.02530.0258101.56081.06960.54510.19460.18790.15160.13360.14000.16990.08450.13390.13630.13880.950.12.05890.03310.36050.01930.01900.01990.01610.01660.01960.01680.01610.01630.016612.07260.04830.36860.01490.01440.01170.01020.01030.01190.01020.01020.01030.010452.32110.58410.50570.11200.10860.09460.07980.08940.10330.07290.07990.08380.0882103.11492.19950.87000.53260.52170.48190.42260.48440.48090.37060.42380.44990.46820.990.16.76150.06421.16600.05040.05000.05090.04930.05030.04920.04620.04930.04970.050316.79740.14611.17060.09280.09210.09340.08900.09320.08380.08480.08900.09050.091658.09982.57631.51281.05401.03441.03520.93731.04530.62200.93430.94051.00190.95111011.88509.48262.81413.53943.45063.43073.08023.28871.75733.05323.10353.31442.97520.9990.157.33710.303310.20820.16710.16340.16560.15330.16360.07680.15940.15340.15770.1392157.60051.057410.20390.47930.46460.46800.41900.42340.17160.44130.41940.43370.3546570.971423.798912.82839.10588.73748.77537.67435.27852.56678.16647.71586.95664.868610112.545992.396725.629534.208032.680632.724128.366117.481910.479530.303428.622624.244216.9600Table 9
Estimated MSE forn = 100, p=4, and 30% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.13.34490.04181.77310.03890.03790.03930.03360.03410.03500.03470.03370.03390.034213.34740.06451.77500.05340.05180.05580.04530.04780.05150.04920.04550.04670.048353.40470.63481.81090.33170.31770.34470.21370.25230.35080.24150.21710.23010.2470103.59082.27071.93131.06271.00671.04850.61700.80061.14050.69290.63410.69410.76670.950.112.34450.05966.98300.05080.04880.05260.03970.04500.05230.04440.03990.04200.0453112.35720.12806.99270.08890.08500.09580.06150.07360.09690.07090.06190.06540.0716512.56412.07427.11440.95560.87930.93280.43140.72351.07160.56410.43980.51210.63091013.22327.93787.51223.41723.10973.16021.36082.87423.91441.82041.41421.84372.42530.990.168.74070.116940.42740.03620.02910.01020.00500.00510.04910.00550.00500.00500.0050168.75580.407740.42630.12630.10350.06140.01230.02910.18340.02410.01230.01380.0192569.894310.486641.05663.90283.38263.08070.98633.67125.07621.58411.00181.46252.43411072.444240.985742.327415.724513.721912.89234.347317.107519.91796.78604.47437.776312.49830.9990.1718.44941.0575430.48560.35150.29140.21220.05190.28590.51870.09530.05190.06220.11391719.18634.3493430.98321.58231.34321.16600.32601.69952.16100.56370.32660.42420.81045727.5877108.7339434.542242.199636.462634.349811.519052.222453.821018.346111.607821.700938.922610766.9152432.6482458.3362171.0409148.1112143.304647.0839214.1686216.530774.810747.8085110.5502177.7827Table 10
Estimated MSE forn = 20, p=10, and 10% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.190.30280.126052.69640.07220.06680.04330.01850.03520.07870.02200.01940.02410.0327190.09110.422652.48780.20510.18440.09220.03490.08790.24280.04790.03790.05310.0783592.836910.436554.11764.59274.03801.85220.88382.74716.03511.21951.10601.75812.419210103.484841.085161.142718.269315.95827.53563.909312.652924.28985.02975.24338.433811.18940.950.1276.09970.3408160.53050.16490.14700.07090.02010.09280.20810.03240.02090.03780.06781276.66521.3403161.02170.59940.52270.23220.06520.37210.80820.11870.07210.16120.27405285.257032.8959165.987314.183012.25135.55802.172611.982319.62883.44222.86216.84689.384710317.2783124.7314186.543853.506946.220520.99949.173250.310774.727013.355313.295430.015739.86920.990.11331.93451.6007771.53450.70000.60680.25330.07280.59880.95960.12950.07520.22020.378611332.33416.3826771.57782.70572.33430.97860.31982.58053.78250.56020.34091.12951.696251369.4252156.6853791.695066.582357.354324.903710.231278.676992.595315.772812.602941.840855.9108101525.2393605.6192891.6240256.1311220.719898.989443.9823324.4023356.240663.420361.1637189.0302249.22870.9990.111754.458215.69506662.87796.72195.73202.40270.82408.75129.43961.35500.84113.47545.0458111776.628164.14666680.366527.492023.34749.98473.656636.597438.79065.82033.799016.650423.3558512220.94251561.74326952.7963665.2483565.5803246.8486101.4521920.6514939.0568151.7494116.8905539.8239720.19921013442.10805949.32447723.14632552.51342175.1664956.6620409.27803538.78963571.3962586.9131519.91932347.13182984.5567Table 11
Estimated MSE forn = 50, p=10, and 10% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.13.14000.03051.68630.02380.02310.02360.01940.01980.02250.02080.01950.01960.019813.15610.04621.69200.02700.02580.02210.01900.01920.02190.01880.01900.01910.019253.46630.57231.89530.21110.19610.11090.07220.08330.15360.07160.07320.07650.0804104.52772.25672.58270.83100.77020.42430.26530.35170.68450.27130.27340.29920.32650.950.19.92140.04625.32670.03300.03160.02840.02210.02380.03240.02670.02210.02250.023119.96190.10345.34200.05580.05280.03960.02850.03310.05330.03600.02860.02960.0310511.13071.88696.11360.72690.67280.34770.18330.38910.73900.27840.18820.23990.29921014.30227.25758.15622.68362.48171.20270.60211.69192.80170.94100.63600.96071.25740.990.152.30890.117227.56760.04880.04560.02630.01780.03030.05410.02300.01780.01920.0216152.38590.392527.58350.14240.13130.05950.03000.09430.16110.04690.03010.03860.0519557.52789.349931.36163.30183.03741.26810.51152.95133.58690.92490.53221.32741.92471075.201837.589742.666713.319012.28545.24172.170312.643114.20203.92752.34687.19399.41930.9990.1537.28700.9777280.37960.34610.31760.13090.05470.34530.37220.08960.05490.11330.17981539.56183.9135281.10941.36991.25610.51740.20261.41591.44040.35200.20400.57720.88065592.052395.1437321.004733.911031.073612.95345.271035.356133.94548.98945.453923.681428.884310763.2005383.4488430.3889136.8452125.976954.075921.1317141.4128135.607436.072522.6733111.2358127.3903Table 12
Estimated MSE forn = 100, p=10, and 10% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME2MTPM1MTPM2MTPM3TRME1MTPM4MTPM5MTPM60.850.11.54570.02810.85120.02510.02480.02700.02070.02170.02440.02230.02090.02120.021711.54970.03460.85620.02550.02480.02510.02000.02030.02230.01980.02010.02020.020351.71680.26970.99770.09620.09020.04860.03390.03490.05670.02900.03400.03430.0347102.16530.99861.28640.32540.30300.14960.10470.11090.20710.08500.10530.10710.10980.950.15.14220.03282.67930.02550.02480.02550.01710.01830.02420.02030.01710.01740.017715.15010.05532.68260.03050.02930.02230.01580.01650.02570.01850.01580.01590.016255.61670.80433.06910.24980.23390.08890.04780.06200.21630.07150.04820.05160.0573107.14283.21134.08730.97560.91100.35030.18780.30130.96850.28580.19090.21900.26230.990.127.68450.072614.43240.03730.03560.02900.02460.02730.04000.02950.02460.02500.0259127.72210.198514.45060.07550.07100.04590.03600.04560.08520.04640.03600.03750.0403530.39514.325916.22911.29781.20310.49010.28510.83261.65930.45250.28780.39170.53591037.994816.980621.28715.04124.67651.81320.98053.68256.44841.61901.00141.72392.44750.9990.1286.89010.4413149.78510.14030.13130.04790.02210.11580.17580.03440.02210.02960.04621287.78251.7449150.31690.51050.47460.15640.06610.43440.66420.11260.06630.11850.20185312.571142.2094165.735312.348711.46213.96201.830812.325015.25963.08481.85355.71308.130310391.1042169.4866218.896649.488745.888216.22407.759852.682160.495312.63237.961128.506836.5864Table 13
Estimated MSE forn = 20, p=10, and 20% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.1273.4793156.7689206.109486.165377.099543.667421.697187.8649113.864536.135740.11467.866886.87451273.0539157.4089205.595786.218577.174142.936821.725187.9107114.047935.827940.098167.797286.8235275.4729157.4634205.477985.615676.83737.786620.637680.175110.768431.360935.060158.245175.30510286.5291182.217209.317398.92387.239543.866123.850190.6212127.559433.330739.208664.050683.2120.950.1819.1836455.426612.785246.591221.5231127.556553.7494315.4418325.223792.1506105.9181226.5454284.76211819.9241459.3204613.2985247.6881222.4191125.732354.2189317.7502327.572390.9346107.0494228.1556286.93295827.7403462.5611613.419248.1087222.9635109.310655.1827301.6026321.909681.5994100.7558208.9254263.93310860.5311534.6709623.4981283.2951249.8283120.643560.6973337.4342368.317185.6961109.0555225.2578288.89460.990.13901.2962150.3312901.2491165.6271051.513624.9954231.7951534.7141517.236434.0425400.81361227.7981467.7313901.2242167.9162899.9961170.0291055.25614.6947233.31611544.1551526.87427.0813407.40481238.5021477.91153930.6122169.2532892.8131168.5331054.01531.9327250.32521499.7761491.422371.725431.51451200.7671410.728104093.1322522.2742942.7571339.3981184.609580.171276.62471721.7551716.665388.6839475.8911319.4921580.7150.9990.134369.1120559.6425211.4511310.8310175.826176.9122128.20314561.1314550.914296.5992775.70813400.4414661.01134395.9720732.6325226.411355.6810211.266092.7532131.21314663.914653.834227.3872803.21313509.5814757.11534854.4420888.8425348.7511428.2310263.135268.5452313.52814461.0714455.433601.3973343.45813395.1314349.821035984.1424046.0825578.8813055.7811492.345758.7282525.17216536.6516525.083696.6333712.09214860.0916222.84Table 14
Estimated MSE forn = 50, p=10, and 20% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.12.77610.03230.99770.02450.02390.02460.02100.02130.02350.02220.02110.02120.021312.78920.05081.00110.02870.02780.02570.02280.02300.02540.02150.02280.02290.023053.1120.64211.15050.20580.19320.12290.09170.1010.15360.08040.09260.09550.099104.14542.46811.71150.75130.70320.41590.29740.35980.59420.25030.30380.32440.34610.950.18.27610.04553.18290.02780.02670.02370.01940.02040.0270.02250.01940.01960.020018.30880.10453.19330.04460.04230.03020.02300.02580.04060.02770.02310.02370.024759.38761.99193.56650.6030.56120.27270.15560.31090.58010.23080.15960.20170.25031012.74557.75045.29542.28092.12290.99190.55771.40082.21570.81130.58650.85861.09260.990.142.02010.126715.57030.05030.04760.03130.02340.03700.05200.03000.02340.02550.0287142.16350.427515.58430.13850.12950.06750.04140.10460.14120.06130.04160.05240.0679547.47379.984817.72722.90762.6981.17290.57212.60982.81450.99110.59471.38031.86841065.056839.60826.777511.463910.66564.52552.261910.512710.58673.95382.44766.95818.55960.9990.1425.95811.0527150.99380.32270.29940.13760.07260.31150.28680.11160.07290.14710.21041427.72584.1515151.32411.21111.12110.48080.23771.16721.05430.38490.23950.64410.88375481.2639100.9849175.938229.43227.202811.45945.470627.091224.11589.01965.701122.71925.648910654.8952403.9386269.8719117.5676108.636947.149521.5542104.962895.829136.026823.395698.8043105.13Table 15
Estimated MSE forn = 100, p=10, and 20% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.13.24510.02532.75550.02030.01980.01730.01330.01340.01410.01140.01330.01330.013413.25090.03462.75910.02010.01890.00760.00410.00410.00470.00560.00410.00410.004153.41730.48862.84460.22640.20420.10990.07650.08130.12370.10680.0770.07880.0814103.85931.95413.03360.95630.87040.5470.43150.46490.67050.53110.43440.44690.46380.950.19.37410.03127.82760.01970.01880.00880.00580.00560.00760.00530.00580.00580.005719.38730.06767.83420.03040.02770.00660.00210.00220.01160.00480.00210.00210.002159.8471.48198.02070.68930.62340.33240.23510.31290.5760.38810.23720.26090.2961011.39085.9518.67582.88542.62141.53571.16311.68982.56811.81011.18031.36081.57440.990.146.40890.12937.47220.08790.08280.07020.06520.07130.08390.08010.06520.06660.0691146.46450.385337.49110.22990.21310.16480.14520.18200.21310.18790.14540.15380.1668549.11918.100338.50634.15013.7832.47591.99253.63763.47762.82342.00992.63223.10641056.829831.57241.460715.750114.34538.98817.075013.943712.532310.16097.216310.846912.34470.9990.1464.21420.7394359.92630.32340.28960.13190.07790.28650.25680.11860.07800.12030.17931464.80623.0143359.86761.36791.23160.64960.44201.21110.98620.63210.44320.73640.95975491.26977.486369.547137.697534.022919.883615.028730.078123.742120.075715.207529.535730.836710569.9381305.4332398.1864148.8783134.556480.606661.1582111.23192.161281.292562.5972120.4841119.1042Table 16
Estimated MSE forn = 20, p=10, and 30% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.1205.7834141.637899.980167.869765.079048.336321.821372.123879.272832.664338.874961.242472.68741205.4415142.946999.703167.890965.196647.785821.860172.020279.116132.787438.924461.228672.59185207.9705159.4720101.749970.691868.349137.262221.341070.172980.827132.137435.926457.019768.632510218.9210183.6254110.534481.240277.288637.272623.130875.028694.608231.881836.518657.161870.26390.950.1613.7642410.5140293.4535195.5390187.8605140.789952.7384234.7824222.747785.7302101.9153194.9430223.89021614.4291416.7934293.9398196.3216188.8401138.750052.8830235.7429223.908786.2712102.4222195.6178224.73755622.5571468.0620300.3344205.5723198.4699105.915855.6603238.6753232.358882.7148103.2003191.6737222.013810654.9862541.4709326.3308233.9611222.5775103.322260.4464263.8341270.186384.3826106.2509198.5806236.41390.990.12926.80091939.70281385.7818930.7545894.3956680.1648226.23641063.60661031.5670409.5610388.39741004.82221089.100912927.00061969.31801385.9845933.6852898.4241666.3663226.71991067.65641035.2800412.0722390.79771007.48891092.270652959.46662210.82921414.5044971.8431938.4028505.7410246.44591102.85161070.2247376.2312436.25681017.08011100.7011103119.75242572.01061535.73471108.71571054.0945497.7095278.98441283.16391254.6899380.3297484.77971106.73421229.28800.9990.126020.083618582.516212070.58419037.50948646.24876631.32302074.93259955.27599938.18004074.85082703.337210325.275410375.6674126044.208218859.407912090.52359064.01068681.59096482.23982075.229010002.07129984.81184091.77022710.731810357.746410418.9171526505.231921286.417412462.25589508.91019121.25755013.96542242.395410510.221510491.28443651.47173270.234710607.126610747.17251027685.945324442.721213413.678710782.853810169.50934884.29332535.007612190.711212176.77423581.61823848.437511736.124812228.1869Table 17
Estimated MSE forn = 50, p=10, and 30% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.12.80340.04180.62650.03010.02960.02950.02780.02790.02960.02840.02780.02790.027912.81610.07690.64330.04470.04420.04360.04090.04130.04420.03770.04100.04110.041353.13861.05380.83650.40120.38740.32540.28830.30420.36620.23720.28950.29520.3015104.18623.77631.36571.31621.26220.97930.84680.94181.19570.70120.85480.88910.92340.950.18.28240.04571.86040.02050.01910.01040.00830.00850.01240.00900.00830.00830.008418.31980.12651.88040.03930.03570.01230.00740.00880.02420.01110.00740.00770.008459.41772.95512.45660.90210.83660.43320.31130.53470.78750.45010.31700.38760.45821012.720011.14744.11543.49533.26111.83811.39452.55223.00081.88561.44091.88912.18550.990.142.14460.20388.76280.09380.09010.07570.06650.08860.08020.08360.06660.07210.0783142.27140.68398.97790.26690.25260.18630.15550.25110.21030.21150.15620.18550.2105547.424715.424912.08445.16984.81722.96032.29444.53833.33483.33752.35333.76454.07581065.186858.192021.015918.993517.703110.41427.940115.663211.462111.61538.393114.573914.88440.9990.1428.44071.662994.32980.60420.56520.38150.30480.48170.31270.39310.30580.46540.49181430.45566.490194.82352.19812.04351.26750.97111.57861.10621.28890.97781.71351.73675483.3848154.7984122.970150.499146.715927.174520.105629.698124.268727.073720.840838.982235.569210657.2009589.6618211.8361190.5493176.2327100.378274.6610106.679492.7202100.713579.9923143.9978128.5776Table 18
Estimated MSE forn = 100, p=10, and 30% outlier in the y-direction.
Correlation (δ2)Error variance (σ2)OLSMREMREM1TRME1MTPM1MTPM2MTPM3TRME2MTPM4MTPM5MTPM60.850.18.48260.03945.19480.02760.02710.02580.01890.01940.02310.01460.01890.01910.019318.48550.08905.19650.04050.03950.01770.00910.00930.01710.00820.00920.00920.009358.67801.84005.33010.55530.52560.15670.09690.10570.35020.09010.09800.10110.1057109.09546.50975.60271.94971.83890.63840.44470.50221.46240.39450.45120.47020.49690.950.128.47590.078217.22400.03740.03690.01780.00800.00820.02620.00800.00800.00800.0080128.47060.250917.21810.08360.08070.01570.00380.00450.06320.00700.00380.00390.0042528.89616.010717.48791.66541.57100.37550.19870.36571.94000.34530.20400.25180.32371030.459121.566818.55725.99245.63671.52120.90411.97787.71181.45770.94131.25741.65090.990.1150.17930.365490.35450.11560.10780.06500.05610.07060.16290.07150.05620.05910.06401150.15691.326390.32600.37400.34910.15220.11940.20770.56510.16840.11990.13660.16275153.083432.045192.34458.60568.04192.40321.55355.818214.09762.51461.59922.95894.141610160.5987115.036997.296031.122329.06998.28265.101722.845251.19518.44745.415512.486016.89580.9990.11527.94233.1511917.93340.85190.80590.14440.05470.68491.40540.10930.05500.15700.307211529.137612.8061918.77793.39803.19540.65570.31713.13695.75480.56100.32011.02391.681751554.1906319.8589935.801285.543880.375219.859111.3013111.3797143.532118.263111.724349.124165.9755101630.16491130.8124985.2088304.0284285.244974.446642.7931428.2197507.485167.075046.0316206.8277271.0353


## 3.3. Real-Life Applications

Example 1.
We consider the Tobacco data of Ref. [21] to show the performance of newly modified estimators. The data contain four predictor variables with 30 observations. Condition number is 1892.33 which shows severe multicollinearity. Considering the following linear model: (24)Y=β0+β1X1+β2X2+β3X3+β4X4+ei,i=1,2,…,n.
The eigenvalues areλ1=3.9739, λ2=0.0176, λ3=0.0064, and λ4=0.0021. The calculated value of error variance is 0.223. The correlation among the predictor variables is shown in Table 19. The data contain two outliers in the y-direction. Estimated MSE and regression coefficients for tobacco data are presented in Table 20. From the result, it is noticed that MTPM3 has the smallest MSE among all the considered estimators.Table 19
Correlation between the predictor variables for tobacco data.
X1X2X3X4X110.9890.9970.996X20.98910.9850.987X30.9970.98510.994X40.9960.9870.9941Table 20
Estimated MSE and the regression coefficients for tobacco data.
EstimatorsMSEβ1β2β3β4OLS1.165421.5074−0.5211−0.84160.8217HK0.893530.4856−0.64270.9521.0434M0.238221.0274−0.4790−0.6781.1030MRE0.250071.0273−0.4664−0.63130.9036M10.967221.0274−0.4006−0.39000.3100TRME10.390931.1639−0.4994−0.62010.7300TRME23.393581.1263−0.0629−0.03490.0197MTPM13.678820.4870−0.00380.00220.0010MTPM21.4221330.6084−0.57980.59750.3818MTPM30.225880.4627−0.63631.00371.2982MTPM43.671110.4879−0.00610.00350.0016MTPM53.438830.5114−0.07460.04620.0214MTPM62.468830.5789−0.34140.27100.1420Example 2.
The second example is of water quality data taken from the Pakistan Council of Research in Water Resources (PCRWR) for the year 2014–2015. We consider four predictors each with 31 observations. Predictor variables are HCO3, SO4, Na, and EC, while response variable is TDS. The estimated error variance is 0.111 and eigenvalues areλ1=3.3024, λ2=0.6599, λ3=0.0210, and λ4=0.0166. Condition number is 157.257, which shows strong multicollinearity. Table 21 shows the correlation among the predictors. The outliers are present in the y-direction. The estimated MSE and regression coefficients are shown in Table 22. The results indicated that MTPM3 is a good choice among the other estimators.Table 21
Correlation between the predictor variables for water quality data.
X1X2X3X4X110.9050.6860.976X20.90510.3560.87X30.6860.35610.738X40.9760.870.7381Table 22
Estimated MSE and the regression coefficients for water quality data.
EstimatorsMSEβ1β2β3β4OLS0.0908340.29440.16450.11110.4784HK0.0698480.54680.03530.15250.1338M0.0335520.48830.09660.08750.3723MRE0.0257850.48780.09620.07630.3136M10.1541910.4880.09530.03080.1098TRME10.2172820.48710.09260.01830.0635TRME20.0302360.53860.10170.03370.1221MTPM10.0542690.5530.00860.00140.001MTPM20.0513230.56090.02150.00630.0045MTPM30.0226280.58630.03740.11970.099MTPM40.0431410.52330.08930.01290.0448MTPM50.0541050.55360.00960.00160.0012MTPM60.0528740.55680.01520.00320.0023


## 4. Concluding Remarks

In this article, modified robust ridge M-estimators for two parameter ridge regression model are proposed to overcome the joint problem of multicollinearity and outliers in they-direction. We proposed six new estimators as an alternate to TRME. A simulation study is conducted to investigate the performance of new estimators on the basis of MSE. The simulation results indicated that the performance of new modified robust ridge M-estimators is better than the other considered estimators. It is also noticed that proposed estimators MTPM1 and MTPM4 and in some cases MTPM3 performed well in the presence of multicollinearity and outliers. The benefits of the new estimators are also shown through the two different numerical examples. Therefore, on the basis of these results, we recommend the use of proposed estimators in the considered scenarios.



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*Source: 1845914-2021-09-22.xml*