Ridge Tahminine Dayalı Kantil Regresyon Analizinde Yanlılık Parametresi Tahminlerinin Performanslarının Karşılaştırılması

Bu çalışmada aykırı gözlemlerin varlığında en küçük kareler regresyonuna alternatif olarak kullanılan kantil regresyonunda çoklu bağlantı probleminin çözümü ele alınmıştır. Kantil regresyonunda çoklu bağlantı probleminin çözümünde ridge regresyon yaklaşımı kullanılmıştır. Ridge tahminine dayalı kantil regresyonunda bazı yanlılık parametre tahminlerinin performansı hata kareler ortalamasına göre karşılaştırılmıştır. Simülasyon çalışması sonuçlarına göre Hocking, Speed ve Lynn (1976) ile Kibria (2003) tarafından önerilen yanlılık parametre tahmin edicileri daha başarılı bir performans göstermişlerdir.

Anahtar Kelimeler:

Kantil regresyon, Ridge regresyonu, Çoklu bağlantı, Aykırı gözlem, Çapraz doğruluk

A Comparison of Performances of the Estimations of the Bias Parameter in the Quantile Regression Analysis Based on Ridge Estimation

In this study, the solution of the multicollinearity problem was investigated in the quantile regression which is used as an alternative to the least squares regression in case the outliers. The ridge regression approach was used to solve the multicollinearity problem in quantile regression. In the quantile regression based on ridge estimation, the performance of some bias parameter estimates was compared according to the mean error squares. According to the results of the simulation study, the bias parameter estimators proposed by Hocking, Speed and Lynn (1976) and Kibria (2003) showed a more successful performance.

Keywords:

Quantile regression, Ridge regression, Multicollinearity, Outliers, Cross validation,

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