An improved robust variance inflation factor: Reducing the negative effects of good leverage points
AbstractIn multiple linear regression analysis, the variance inflation factor is a well-known collinearity measure.
It is defined as the function of the coefficient of determination between the explanatory variables, and it
is based on the maximum likelihood estimator of the regression coefficients. Nevertheless, in addition
to outliers, leverage observations can have significant impact on the coefficient of determination, and
thereby the variance inflation factor. This study presents an improved robust variance inflation factor
estimator that is not affected by these observations. Simulation studies and a real data analysis indicate
that the modified robust variance inflation factor estimator performs better than the traditional one.