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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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Main Authors: Uraibi, Hassan Sami, Midi, Habshah, Rana, Sohel
Format: Article
Language:English
Published: Taylor & Francis 2017
Online Access:http://psasir.upm.edu.my/id/eprint/63189/1/Selective%20overview%20of%20forward%20selection%20in%20terms%20of%20robust%20correlations.pdf
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spelling oai:psasir.upm.edu.my:63189 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
institution UPM IR
collection UPM IR
language English
description 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.
format Article
author Uraibi, Hassan Sami
Midi, Habshah
Rana, Sohel
spellingShingle 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
author_sort 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
url http://psasir.upm.edu.my/id/eprint/63189/1/Selective%20overview%20of%20forward%20selection%20in%20terms%20of%20robust%20correlations.pdf
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score 12.935284

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