Sparse partial robust M regression

I Hoffmann, S Serneels, Peter Filzmoser and Christophe Croux

No 500107, Working Papers of Department of Decision Sciences and Information Management, Leuven from KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven

Abstract: Sparse partial robust M regression is introduced as a new regression method. It is the first dimension reduction and regression algorithm that yields estimates with a partial least squares alike interpretability that are sparse and robust with respect to both vertical outliers and leverage points. A simulation study underpins these claims. Real data examples illustrate the validity of the approach.

Keywords: Biplot; Partial least squares; Robustness; Sparse estimation (search for similar items in EconPapers)
Date: 2015
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Published in FEB Research Report KBI_1513

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Persistent link: https://EconPapers.repec.org/RePEc:ete:kbiper:500107

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