Two Stage Robust Ridge Estimators based on robust estimators M, MM, S, LTS are examined in the presence of autocorrelation, multicollinearity and outliers as alternative to Ordinary Least Square Estimator (OLS). The estimator based on S estimator performs better. Mean square error was used as a criterion for examining the performances of these estimators.
Lukman, Adewale Folaranmi; Osowole, Oyedeji Isola; and Ayinde, Kayode
"Two Stage Robust Ridge Method in a Linear Regression Model,"
Journal of Modern Applied Statistical Methods:
2, Article 8.
Available at: http://digitalcommons.wayne.edu/jmasm/vol14/iss2/8