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Robust Linear Model Selection by Cross-Validation

Field, Christopher
Blanchard, Wade
Published in Journal of the American Statistical Association. 1997, vol. 92, no. 439, p. 1017-1023
Abstract This article gives a robust technique for model selection in regression models, an important aspect of any data analysis involving regression. There is a danger that outliers will have an undue influence on the model chosen and distort any subsequent analysis. We provide a robust algorithm for model selection using Shao's cross-validation methods for choice of variables as a starting point. Because Shao's techniques are based on least squares, they are sensitive to outliers. We develop our robust procedure using the same ideas of cross-validation as Shao but using estimators that are optimal bounded influence for prediction. We demonstrate the effectiveness of our robust procedure in providing protection against outliers both in a simulation study and in a real example. We contrast the results with those obtained by Shao's method, demonstrating a substantial improvement in choosing the correct model in the presence of outliers with little loss of efficiency at the normal model.
Keywords Bounded influenceConstruction sampleOutliersPrediction errorRobust predictionValidation sample
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RONCHETTI, Elvezio, FIELD, Christopher, BLANCHARD, Wade. Robust Linear Model Selection by Cross-Validation. In: Journal of the American Statistical Association , 1997, vol. 92, n° 439, p. 1017-1023. doi: 10.1080/01621459.1997.10474057 https://archive-ouverte.unige.ch/unige:23222

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Deposited on : 2012-10-06

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