Automatic selection of indicators in a fully saturated regression (Q626211): Difference between revisions
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Latest revision as of 18:57, 3 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Automatic selection of indicators in a fully saturated regression |
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Automatic selection of indicators in a fully saturated regression (English)
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22 February 2011
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The problem of mean and variance estimation from an i.i.d. sample contaminated by outliers is discussed. The authors consider a linear regression model in which the presence of outliers is modeled by impulse dummy variables (indicators) added for some subset of the sample. Only significant indicators are to be included into the model. The resulting model is obtained as a combination of models derived by different subsets of the sample. Asymptotics of the estimate for the mean and variance are investigated. Results of Monte Carlo simulations are presented.
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mean
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variance estimation
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outliers
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contaminated samples
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