標題: A new multicollinearity diagnostic for generalized linear models
作者: Huang, Chien-Chia L.
Jou, Yow-Jen
Cho, Hsun-Jung
運輸與物流管理系 註:原交通所+運管所
資訊管理與財務金融系 註:原資管所+財金所
Department of Transportation and Logistics Management
Department of Information Management and Finance
關鍵字: Collinearity;condition number;diagnostic;generalized linear models;variance inflation factor
公開日期: 2016
摘要: We propose a new collinearity diagnostic tool for generalized linear models. The new diagnostic tool is termed the weighted variance inflation factor (WVIF) behaving exactly the same as the traditional variance inflation factor in the context of regression diagnostic, given data matrix normalized. Compared to the use of condition number (CN), WVIF shows more reliable information on how severe the situation is, when data collinearity does exist. An alternative estimator, a by-product of the new diagnostic, outperforms the ridge estimator in the presence of data collinearity in both aspects of WVIF and CN. Evidences are given through analyzing various real-world numerical examples.
URI: http://dx.doi.org/10.1080/02664763.2015.1126239
http://hdl.handle.net/11536/134159
ISSN: 0266-4763
DOI: 10.1080/02664763.2015.1126239
期刊: JOURNAL OF APPLIED STATISTICS
Volume: 43
Issue: 11
起始頁: 2029
結束頁: 2043
Appears in Collections:Articles