A mathematical programming approach for improving the robustness of least sum of absolute deviations regression

DOI10.1002/nav.20139zbMath1127.62060OpenAlexW1975835288MaRDI QIDQ5438524

Bhaskar Sengupta, Jeffrey S. Simonoff, Avi Giloni

Publication date: 23 January 2008

Published in: Naval Research Logistics (NRL) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/nav.20139

zbMATH Keywords

algorithmsknapsack problemrobust regressionbreakdown pointnonlinear mixed integer programming

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Applications of mathematical programming (90C90) Mixed integer programming (90C11) Nonlinear programming (90C30)

Related Items

Variable selection and parameter estimation via WLAD-SCAD with a diverging number of parameters, Sharp non-asymptotic performance bounds for \(\ell_1\) and Huber robust regression estimators, Weighted LAD-LASSO method for robust parameter estimation and variable selection in regression, Robust weighted LAD regression, Shrinkage and penalized estimators in weighted least absolute deviations regression models, WEIGHT LAD AND WEIGHT LAD RIDGE ESTIMATOR FOR SEEMINGLY UNRELATED REGRESSION MODELS

Uses Software

• R
• quantreg

Cites Work

• Linear optimization and extensions
• Smoothing methods in statistics
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