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Robust model selection in regression

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  • Ronchetti, Elvezio

Abstract

A robust version of Akaike's model selection procedure for regression models is introduced and its relationship with robust testing procedures is discussed.

Suggested Citation

  • Ronchetti, Elvezio, 1985. "Robust model selection in regression," Statistics & Probability Letters, Elsevier, vol. 3(1), pages 21-23, February.
    • Handle: RePEc:eee:stapro:v:3:y:1985:i:1:p:21-23
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    Cited by:

    1. Yeşim Güney & Y. Tuaç & Ş. Özdemir & O. Arslan, 2021. "Conditional maximum Lq-likelihood estimation for regression model with autoregressive error terms," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(1), pages 47-74, January.
    2. Menjoge, Rajiv S. & Welsch, Roy E., 2010. "A diagnostic method for simultaneous feature selection and outlier identification in linear regression," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3181-3193, December.
    3. Baierl, Andreas & Futschik, Andreas & Bogdan, Malgorzata & Biecek, Przemyslaw, 2007. "Locating multiple interacting quantitative trait loci using robust model selection," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6423-6434, August.
    4. Boente, Graciela & Salibian-Barrera, Matías & Vena, Pablo, 2020. "Robust estimation for semi-functional linear regression models," Computational Statistics & Data Analysis, Elsevier, vol. 152(C).
    5. Sharmishtha Mitra & Amit Mitra, 2014. "M-estimator-based robust estimation of the number of components of a superimposed sinusoidal signal model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(4), pages 853-878, April.
    6. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2023. "Robust Discovery of Regression Models," Econometrics and Statistics, Elsevier, vol. 26(C), pages 31-51.
    7. Elbakry, Ashraf E. & Nwachukwu, Jacinta C. & Abdou, Hussein A. & Elshandidy, Tamer, 2017. "Comparative evidence on the value relevance of IFRS-based accounting information in Germany and the UK," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 28(C), pages 10-30.
    8. Lan Wang & Runze Li, 2009. "Weighted Wilcoxon-Type Smoothly Clipped Absolute Deviation Method," Biometrics, The International Biometric Society, vol. 65(2), pages 564-571, June.
    9. Agostinelli, Claudio, 2002. "Robust model selection in regression via weighted likelihood methodology," Statistics & Probability Letters, Elsevier, vol. 56(3), pages 289-300, February.
    10. Valentin Todorov, 2007. "Robust selection of variables in linear discriminant analysis," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 15(3), pages 395-407, February.
    11. Sadique, Shibley & In, Francis & Veeraraghavan, Madhu & Wachtel, Paul, 2013. "Soft information and economic activity: Evidence from the Beige Book," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 81-92.
    12. Adu, Kofi Osei, 2019. "National health insurance scheme renewal in Ghana: Does waiting time at health insurance registration office matter?," MPRA Paper 91961, University Library of Munich, Germany.
    13. Taylor, James W., 2008. "Exponentially weighted information criteria for selecting among forecasting models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 513-524.
    14. Salibian-Barrera, Matias & Van Aelst, Stefan, 2008. "Robust model selection using fast and robust bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5121-5135, August.
    15. Valentin Todorov, 2007. "Robust selection of variables in linear discriminant analysis," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 15(3), pages 395-407, February.
    16. Khan, Jafar A. & Van Aelst, Stefan & Zamar, Ruben H., 2007. "Building a robust linear model with forward selection and stepwise procedures," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 239-248, September.
    17. Giessing, Alexander & He, Xuming, 2019. "On the predictive risk in misspecified quantile regression," Journal of Econometrics, Elsevier, vol. 213(1), pages 235-260.
    18. Çetin, Meral, 2009. "Robust model selection criteria for robust Liu estimator," European Journal of Operational Research, Elsevier, vol. 199(1), pages 21-24, November.

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