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Please use this identifier to cite or link to this item: 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
Citation: 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
URI: http://hdl.handle.net/1942/23407
DOI: 10.1080/02331888.2017.1318879
ISI #: 000405210100013
ISSN: 0233-1888
Category: A1
Type: Journal Contribution
Validation: ecoom, 2018
Appears in Collections: Research publications

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