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Robust model selection with flexible trimming

By Marco Riani and Anthony C. Atkinson

Abstract

The forward search provides data-driven flexible trimming of a C-p statistic for the choice of regression models that reveals the effect of outliers on model selection. An informed robust model choice follows. Even in small samples, the statistic has a null distribution indistinguishable from an F distribution. Limits on acceptable values of the C-p statistic follow. Two examples of widely differing size are discussed. A powerful graphical tool is the generalized candlestick plot, which summarizes the information on all forward searches and on the choice of models. A comparison is made with the use of M-estimation in robust model choice

Topics: HA Statistics
Publisher: Elsevier Science BV
Year: 2010
DOI identifier: 10.1016/j.csda.2010.03.007
OAI identifier: oai:eprints.lse.ac.uk:29437
Provided by: LSE Research Online
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