Robust model selection with flexible trimming

Marco Riani and Anthony C. Atkinson

Computational Statistics & Data Analysis, 2010, vol. 54, issue 12, 3300-3312

Abstract: The forward search provides data-driven flexible trimming of a Cp 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 Cp 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.

Keywords: Candlestick; plot; Cp; Cp(m); Distributional; robustness; F; distribution; Forward; search; M-estimation (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (8)

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