Selective overview of forward selection in terms of robust correlations
Forward selection (FS) is a very effective variable selection procedure for selecting a parsimonious subset of covariates from a large number of candidate covariates. Detecting the type of outlying observations, such as vertical outliers or leverage points, and the FS procedure are inseparable probl...
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Taylor & Francis
2017
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Online Access: | http://psasir.upm.edu.my/id/eprint/63189/1/Selective%20overview%20of%20forward%20selection%20in%20terms%20of%20robust%20correlations.pdf http://psasir.upm.edu.my/id/eprint/63189/ https://www.tandfonline.com/doi/abs/10.1080/03610918.2016.1164862?journalCode=lssp20 |
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my.upm.eprints.631892018-09-28T03:30:52Z http://psasir.upm.edu.my/id/eprint/63189/ Selective overview of forward selection in terms of robust correlations Uraibi, Hassan Sami Midi, Habshah Rana, Sohel Forward selection (FS) is a very effective variable selection procedure for selecting a parsimonious subset of covariates from a large number of candidate covariates. Detecting the type of outlying observations, such as vertical outliers or leverage points, and the FS procedure are inseparable problems. For robust variable selection, a crucial issue is whether the outliers are univariate, bivariate, or multivariate. This paper uses a consistent robust multivariate dispersion estimator to obtain robust correlation estimators used to establish robust forward selection (RFS) procedures that outperform methods that use robust bivariate correlations. The usefulness of our proposed procedure is studied with a numerical example and a simulation study. The result shows the proposed method has scalability and the ability to deal with univariate, bivariate and multivariate outlying observations including leverage points or vertical outliers, and the new method outperforms previously published methods of RFS. Taylor & Francis 2017 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/63189/1/Selective%20overview%20of%20forward%20selection%20in%20terms%20of%20robust%20correlations.pdf Uraibi, Hassan Sami and Midi, Habshah and Rana, Sohel (2017) Selective overview of forward selection in terms of robust correlations. Communications in Statistics - Simulation and Computation, 46 (7). pp. 5479-5503. ISSN 0361-0918; ESSN: 1532-4141 https://www.tandfonline.com/doi/abs/10.1080/03610918.2016.1164862?journalCode=lssp20 10.1080/03610918.2016.1164862 |
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Forward selection (FS) is a very effective variable selection procedure for selecting a parsimonious subset of covariates from a large number of candidate covariates. Detecting the type of outlying observations, such as vertical outliers or leverage points, and the FS procedure are inseparable problems. For robust variable selection, a crucial issue is whether the outliers are univariate, bivariate, or multivariate. This paper uses a consistent robust multivariate dispersion estimator to obtain robust correlation estimators used to establish robust forward selection (RFS) procedures that outperform methods that use robust bivariate correlations. The usefulness of our proposed procedure is studied with a numerical example and a simulation study. The result shows the proposed method has scalability and the ability to deal with univariate, bivariate and multivariate outlying observations including leverage points or vertical outliers, and the new method outperforms previously published methods of RFS. |
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Article |
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Uraibi, Hassan Sami Midi, Habshah Rana, Sohel |
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Uraibi, Hassan Sami Midi, Habshah Rana, Sohel Selective overview of forward selection in terms of robust correlations |
author_facet |
Uraibi, Hassan Sami Midi, Habshah Rana, Sohel |
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Uraibi, Hassan Sami |
title |
Selective overview of forward selection in terms of robust correlations |
title_short |
Selective overview of forward selection in terms of robust correlations |
title_full |
Selective overview of forward selection in terms of robust correlations |
title_fullStr |
Selective overview of forward selection in terms of robust correlations |
title_full_unstemmed |
Selective overview of forward selection in terms of robust correlations |
title_sort |
selective overview of forward selection in terms of robust correlations |
publisher |
Taylor & Francis |
publishDate |
2017 |
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http://psasir.upm.edu.my/id/eprint/63189/1/Selective%20overview%20of%20forward%20selection%20in%20terms%20of%20robust%20correlations.pdf http://psasir.upm.edu.my/id/eprint/63189/ https://www.tandfonline.com/doi/abs/10.1080/03610918.2016.1164862?journalCode=lssp20 |
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