极端值条件下线性回归分析策略的模拟研究

doi:10.3969/j.issn.1006-5253.2022.04.015

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Abstract Objective To compare the actual effects of four commonly used extreme value processing strategies in multi-factor regression analysis under different extreme value conditions, and to provide a reference for formulating extreme value processing strategies in multi-factor regression analysis.Methods Monte Carlo algorithm was used to simulate the extreme data under different conditions, and the extreme value processing strategy of multivariate regression analysis under different extreme conditions was simulated. Type I error probability-α, type II error probability-β, root mean square error of model coefficient estimation, model R² and adjustment R² were used as evaluation indexes.Results The method of directly deleting extreme values performs well when the proportion of extreme values and the number of observation points containing extreme values are small, but with the increasing proportion and number of extreme values, the performance becomes worse and worse. Robust regression analysis has a very good performance under various extreme conditions of large sample size, except that the performance is not very good when the sample size is small. The method of converting extreme values into missing values and then performing multiple interpolation only has acceptable performance when the sample size is small and the proportion of extreme values is low. The processing method of data conversion is very poor in all extreme conditions.Conclusion Robust regression analysis is best used when the sample size is large, but it should be used with caution when the sample size is small. The method of converting extreme values into missing values and then multiple interpolation is suitable for data sets with small proportion of extreme values. The method of directly deleting extreme values is only suitable for data sets with small number of observation points and small proportion, while the method of data conversion is not suitable for most extreme values.

Key words： extreme value linear regression extreme value detection extreme value processing

Received: 06 May 2022

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	Articles by authors
	Hu Weiwei
	Li Yemian
	Yan Hong
	Chen Fangyao

Cite this article:

Hu Weiwei,Li Yemian,Yan Hong, et al. Simulation study on linear regression analysis strategy under extreme value conditions[J]. journal1, 2022, 29(4): 304-311.

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http://manu58.magtech.com.cn/Jwk_zgyytj/EN/10.3969/j.issn.1006-5253.2022.04.015 OR http://manu58.magtech.com.cn/Jwk_zgyytj/EN/Y2022/V29/I4/304

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