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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

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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.
Library of Congress subject classification: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: UT ISI:000281333900034
Date Deposited: 22 Sep 2010 13:47
URL: http://eprints.lse.ac.uk/29437/

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