The multicollinearity in multiple linear regression models and the
existence of influential data points are common problems. These problems exert
undesirable effects on the least squares estimators. So, it is very important to
introduce some alternative biased estimators of the robust ridge regression to
overcome the influence of these problems simultaneously. In this paper,
alternative biased robust regression estimator is defined by mixing the ridge
estimation technique into the robust least median squares estimation to obtain the
Ridge Least Median Squares (RLMS). The efficiency of the combined estimator
(RLMS) is compared with some existing regression estimators, which namely, the
Ordinary Least Squares (LS); Ridge Regression (RR) and Ridge Least Absolute
Deviation (RLAD). The numerical results of this study show that, the RLMS
regression estimator is more efficient than other estimators, based on, Bias and
mean squared error criteria for many combinations of influential data points and
degree of multicollinearity.
Keywards: Influential Data Points; Multicollinearity; Ridge regression; Ridge
Least Absolute Deviation; Ridge Least Median Squares estimation; Bias and
Mean Squared Error criteria