Cookies?
Library Header Image
LSE Research Online LSE Library Services

Robust model selection with flexible trimming

Riani, Marco and Atkinson, Anthony C. (2010) Robust model selection with flexible trimming. Computational Statistics and Data Analysis, 54 (12, Sp). pp. 3300-3312. ISSN 0167-9473

Full text not available from this repository.

Identification Number: 10.1016/j.csda.2010.03.007

Abstract

The forward search provides data-driven flexible trimming of a C-p 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 C-p 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.

Item Type: Article
Official URL: http://www.elsevier.com/wps/find/journaldescriptio...
Additional Information: © 2010 Elsevier B.V.
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
Date Deposited: 22 Sep 2010 13:47
Last Modified: 05 Jan 2024 08:33
URI: http://eprints.lse.ac.uk/id/eprint/29437

Actions (login required)

View Item View Item