The Performance Comparison Of Two-Step Robust Weighted Least Squares (Tsrwls) With Different Robust'S Weight Functions

The purpose of this paper is to compare the performance of Two-Step Robust Weighted Least Squares (TSRWLS) using three different Robust's Weight Function namely Huber, Bisquare and Hampel. Previously, the procedure of TSRWLS only used Huber's weight function as the second weight and this study serves to compare the performance of TSRWLS when the three different weight functions are used. The performance was evaluated based on real data and Monte-Carlo simulation study and the findings suggests that the performance of TSRWLS by using Huber, Bisquare and Hampel as the second weight is relatively close to one another with a fairly close standard error and almost identical values of biasness and root mean square error. Based on the result in the numerical example and simulation study, this study concluded that the performances of TSRWLS using all three weight functions performed equally. It is therefore suggested that any one of the three robust's weight function can be used as the second weight in performing TSRWLS. However, the use of Huber's weight function as the second weight in TSRWLS is recommended because of the simplicity of the function when compared against the other two weight functions. (C) 2017 The Authors. Published by IASE. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).