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Robust variable selection through MAVE

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  • Yao, Weixin
  • Wang, Qin

Abstract

Dimension reduction and variable selection play important roles in high dimensional data analysis. The sparse MAVE, a model-free variable selection method, is a nice combination of shrinkage estimation, Lasso, and an effective dimension reduction method, MAVE (minimum average variance estimation). However, it is not robust to outliers in the dependent variable because of the use of least-squares criterion. A robust variable selection method based on sparse MAVE is developed, together with an efficient estimation algorithm to enhance its practical applicability. In addition, a robust cross-validation is also proposed to select the structural dimension. The effectiveness of the new approach is verified through simulation studies and a real data analysis.

Suggested Citation

  • Yao, Weixin & Wang, Qin, 2013. "Robust variable selection through MAVE," Computational Statistics & Data Analysis, Elsevier, vol. 63(C), pages 42-49.
    • Handle: RePEc:eee:csdana:v:63:y:2013:i:c:p:42-49
    DOI: 10.1016/j.csda.2013.01.021
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    Cited by:

    1. Zhang, Jing & Wang, Qin & Mays, D'Arcy, 2021. "Robust MAVE through nonconvex penalized regression," Computational Statistics & Data Analysis, Elsevier, vol. 160(C).
    2. Dernoncourt, David & Hanczar, Blaise & Zucker, Jean-Daniel, 2014. "Analysis of feature selection stability on high dimension and small sample data," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 681-693.
    3. Lv, Jing & Yang, Hu & Guo, Chaohui, 2015. "An efficient and robust variable selection method for longitudinal generalized linear models," Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 74-88.
    4. Rekabdarkolaee, Hossein Moradi & Boone, Edward & Wang, Qin, 2017. "Robust estimation and variable selection in sufficient dimension reduction," Computational Statistics & Data Analysis, Elsevier, vol. 108(C), pages 146-157.

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