Robust variable selection through MAVE
نویسندگان
چکیده
منابع مشابه
Robust variable selection through MAVE
Dimension reduction and variable selection play important roles in high dimensional data analysis. The sparse MAVE, a model-free variable selection method, is a nice combination of shrinkage estimation, Lasso, and an effective dimension reduction method,MAVE (minimum average variance estimation). However, it is not robust to outliers in the dependent variable because of the use of least-squares...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2013
ISSN: 0167-9473
DOI: 10.1016/j.csda.2013.01.021