Torti, Francesca, Perrotta, Domenico, Atkinson, Anthony C. and Riani, Marco (2012) Benchmark testing of algorithms for very robust regression: FS, LMS and LTS. Computational statistics & data analysis, 56 (8). pp. 2501-2512. ISSN 0167-9473
Abstract
The methods of very robust regression resist up to 50% of outliers. The algorithms for very robust regression rely on selecting numerous subsamples of the data. New algorithms for LMS and LTS estimators that have increased computational efficiency due to improved combinatorial sampling are proposed. These and other publicly available algorithms are compared for outlier detection. Timings and estimator quality are also considered. An algorithm using the forward search (FS) has the best properties for both size and power of the outlier tests.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.journals.elsevier.com/computational-sta... |
| Additional Information: | © 2012 Elsevier |
| Uncontrolled Keywords: | Combinatorial search; Concentration step; Forward search; Least median of squares; Least trimmed squares; Logistic plots of power; Masking; Outlier detection |
| Library of Congress subject classification: | H Social Sciences > HA Statistics |
| Sets: | Departments > Statistics |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/42970/ |
Actions (login required)
 |
Record administration - authorised staff only |
