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An improved robust variance inflation factor: Reducing the negative effects of good leverage points
Author(s) -
O. Ufuk Ekiz,
AUTHOR_ID
Publication year - 2021
Publication title -
maǧallaẗ al-kuwayt li-l-ʿulūm
Language(s) - English
Resource type - Journals
eISSN - 2307-4116
pISSN - 2307-4108
DOI - 10.48129/kjs.15533
Subject(s) - variance inflation factor , estimator , statistics , mathematics , econometrics , collinearity , linear regression , inflation (cosmology) , outlier , variance (accounting) , leverage (statistics) , multicollinearity , economics , physics , accounting , theoretical physics
In multiple linear regression analysis, the variance inflation factor is a well-known collinearity measure. It is defined as the function of the coefficient of determination between the explanatory variables, and it is based on the maximum likelihood estimator of the regression coefficients. Nevertheless, in addition to outliers, leverage observations can have significant impact on the coefficient of determination, and thereby the variance inflation factor. This study presents an improved robust variance inflation factor estimator that is not affected by these observations. Simulation studies and a real data analysis indicate that the modified robust variance inflation factor estimator performs better than the traditional one.

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