relf: robust regression extended with ensemble loss function

Robust Support Vector Regression with Flexible Loss Function

In the interest of deriving regressor that is robust to outliers, we propose a support vector regression (SVR) based on non-convex quadratic insensitive loss function with flexible coefficient and margin. The proposed loss function can be approximated by a difference of convex functions (DC). The resultant optimization is a DC program. We employ Newton’s method to solve it. The proposed model c...

Selecting the Loss Function for Robust Linear Regression

This paper addresses selection of the loss function for regression problems with finite data. It is well-known (under standard regression formulation) that for a known noise density there exist an optimal loss function under an asymptotic setting (large number of samples), i.e. squared loss is optimal for Gaussian noise density. However, in real-life applications the noise density is unknown an...

Extending extended logistic regression to effectively utilize the ensemble spread

To achieve well calibrated probabilistic forecasts, ensemble forecasts often need to be statistically post-processed. One recent ensemble-calibration method is extended logistic regression which extends the popular logistic regression to yield full probability distribution forecasts. Although the purpose of this method is to post-process ensemble forecasts, mostly only the ensemble mean is used...

Path Loss Prediction by Robust Regression Methods

Extending extended logistic regression for ensemble post - processing : Extended vs . separate vs . ordered vs . censored

Extended logistic regression is a recent ensemble calibration method that extends logistic regression to provide full continuous probability distribution forecasts. It assumes conditional logistic distributions for the (transformed) predictand and fits these using selected predictand category probabilities. In this study we compare extended logistic regression to the closely related ordered and...