Fast robust variable selection

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Fast robust variable selection

TitleFast robust variable selection
Publication TypeConference Paper
Year of Publication2008
AuthorsVan Aelst, S, Khan, JA, Zamar, RH
EditorBrito, P
Conference NameCOMPSTAT 2008: PROCEEDINGS IN COMPUTATIONAL STATISTICS
PublisherUniv Porto, Fac Econ; PSE; FCT; FEUP; Banco Porutgal; PORTO; SPM; Caixa Geral Depositos; SPE; CLAD; ifcs
Conference LocationTIERGARTENSTR 17, D-69121 HEIDELBERG, GERMANY
ISBN Number978-3-7908-2083-6
Keywordscorrelation, missing data, Robustness, variable selection
AbstractWe discuss some computationally efficient procedures for robust variable selection in linear regression. A key component in these procedures is the computation of robust correlations between pairs of variables. We show that the robust variable selection procedures can easily handle missing data under the assumption that data are missing completely at random.