Robust model selection with flexible trimming
The forward search provides data-driven flexible trimming of a Cp statistic for the choice of regression models that reveals the effect of outliers on model selection. An informed robust model choice follows. Even in small samples, the statistic has a null distribution indistinguishable from an F distribution. Limits on acceptable values of the Cp statistic follow. Two examples of widely differing size are discussed. A powerful graphical tool is the generalized candlestick plot, which summarizes the information on all forward searches and on the choice of models. A comparison is made with the use of M-estimation in robust model choice.
Year of publication: |
2010
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Authors: | Riani, Marco ; Atkinson, Anthony C. |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 54.2010, 12, p. 3300-3312
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Publisher: |
Elsevier |
Keywords: | Candlestick plot Cp Cp(m) Distributional robustness F distribution Forward search M-estimation |
Saved in:
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