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http://hdl.handle.net/1942/23407
Title: | Consistency and robustness properties of the S-nonnegative garrote estimator | Authors: | Gijbels, Irène VERHASSELT, Anneleen Vrinssen, Inge |
Issue Date: | 2017 | Source: | STATISTICS, 51 (4), p. 921-947 | Abstract: | This paper concerns a robust variable selection method in multiple linear regression: the robust S-nonnegative garrote variable selection method. In this paper the consistency of the method, both in terms of estimation and in terms of variable selection, is established. Moreover, the robustness properties of the method are further investigated by providing a lower bound for the breakdown point, and by deriving the influence function. The provided expressions nicely reveal the impact that the choice of an initial estimator has on the robustness properties of the variable selection method. Illustrative examples of influence functions for the S-nonnegative garrote as well as for the original (non-robust) nonnegative garrote variable selection method are provided. | Notes: | Gijbels, I (reprint author), Katholieke Univ Leuven, Dept Math, Leuven, Belgium. irene.gijbels@wis.kuleuven.be | Keywords: | breakdown point; consistency; influence function; nonnegative garrote; ordinary least-squares estimator; outliers; S-estimation; variable selection. | Document URI: | http://hdl.handle.net/1942/23407 | ISSN: | 0233-1888 | e-ISSN: | 1029-4910 | DOI: | 10.1080/02331888.2017.1318879 | ISI #: | 000405210100013 | Rights: | © American Statistical Association and Taylor & Francis 2017 | Category: | A1 | Type: | Journal Contribution | Validations: | ecoom 2018 |
Appears in Collections: | Research publications |
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ThirdRevisionPaperGVV.pdf | Peer-reviewed author version | 569.89 kB | Adobe PDF | View/Open |
gijbels2017 (1).pdf Restricted Access | Published version | 2.75 MB | Adobe PDF | View/Open Request a copy |
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