A new estimator for the multicollinear Poisson regression model: simulation and application

The maximum likelihood estimator (MLE) suffers from the instability problem in the presence of multicollinearity for a Poisson regression model (PRM). In this study, we propose a new estimator with some biasing parameters to estimate the regression coefficients for the PRM when there is multicollinearity problem. Some simulation experiments are conducted to compare the estimators' performance by using the mean squared error (MSE) criterion. For illustration purposes, aircraft damage data has been analyzed. The simulation results and the real-life application evidenced that the proposed estimator performs better than the rest of the estimators.

Automated summary

A new estimator is proposed in this study to address the issue of multicollinearity in Poisson regression models, and both simulation experiments and real-life application demonstrate its superior performance compared to other estimators.