Extreme bound analysis based on correlation coefficient for optimal regression model

Nguyen, Loc PhD, PostDoc

No wjnz3, OSF Preprints from Center for Open Science

Abstract: Regression analysis is an important tool in statistical analysis, in which there is a demand of discovering essential independent variables among many other ones, especially in case that there is a huge number of random variables. Extreme bound analysis is a powerful approach to extract such important variables called robust regressors. In this research, I propose a so-called Regressive Expectation Maximization with RObust regressors (REMRO) algorithm as an alternative method beside other probabilistic methods for analyzing robust variables. By the different ideology from other probabilistic methods, REMRO searches for robust regressors forming optimal regression model and sorts them according to descending ordering given their fitness values determined by two proposed concepts of local correlation and global correlation. Local correlation represents sufficient explanatories to possible regressive models and global correlation reflects independence level and stand-alone capacity of regressors. Moreover, REMRO can resist incomplete data because it applies Regressive Expectation Maximization (REM) algorithm into filling missing values by estimated values based on ideology of expectation maximization (EM) algorithm. From experimental results, REMRO is more accurate for modeling numeric regressors than traditional probabilistic methods like Sala-I-Martin method but REMRO cannot be applied in case of nonnumeric regression model yet in this research.

Date: 2022-11-18
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:osf:osfxxx:wjnz3

DOI: 10.31219/osf.io/wjnz3

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