A Modified winsorized regression procedure for linear models

Abstract

In this paper we propose a modified Winsorized regression procedure for estimating parameters in linear regression models. it is shown that these estimators provide a close approximation to Tiku's MMLE. By assuming contaminated normal distributions, Monte Carlo studies indicate that the modified Winsorized estimators are more efficient than Winsorized regression estimators.

Keywords:

• Contaminated normal distribution
• efficiency
• least square estimator
• modified Winsorized estimator, Tiku's MMLE
• Winsorized estimator