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Outlier Robust Model Selection in Linear Regression

Mueller, Samuel; Welsh, Alan

Description

We propose a new approach to the selection of regression models based on combining a robust penalized criterion and a robust conditional expected prediction loss function that is estimated using a stratified bootstrap. Both components of the procedure use robust criteria (i.e., robust p-functions) rather than squared error loss to reduce the effects of large residuals and poor bootstrap samples. A key idea is to separate estimation from model selection by choosing estimators separately from the...[Show more]

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
URI: http://hdl.handle.net/1885/85213
Source: Journal of the American Statistical Association
DOI: 10.1198/016214505000000529

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