Modified least trimmed quantile regression to overcome effects of leverage points

DOI10.1155/2020/1243583MaRDI QIDQ778639zbMATH OpenOpenAlexFDO

Authors Habshah Midi, Taha Alshaybawee, Mohammed Alguraibawi

Publication date 3 July 2020

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/1243583

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35) Linear regression; mixed models (62J05)

Review text

Summary: Quantile regression estimates are robust for outliers in \(y\) direction but are sensitive to leverage points. The least trimmed quantile regression (LTQReg) method is put forward to overcome the effect of leverage points. The LTQReg method trims higher residuals based on trimming percentage specified by the data. However, leverage points do not always produce high residuals, and hence, the trimming percentage should be specified based on the ratio of contamination, not determined by a researcher. In this paper, we propose a modified least trimmed quantile regression method based on reweighted least trimmed squares. Robust Mahalanobis' distance and GM6 weights based on \textit{D. Gervini} and \textit{V. J. Yohai}'s [Ann. Stat. 30, No. 2, 583--616 (2002; Zbl 1012.62073)] cutoff points are employed to determine the trimming percentage and to detect leverage points. A simulation study and real data are considered to investigate the performance of our proposed methods.

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Cited in

(5)

• The least trimmed quantile regression
• scientific article; zbMATH DE number 3992657 (Why is no real title available?)
• EMPIRICAL REGRESSION QUANTILE AND LEVERAGE TREATMENT METHOD
• A high breakdown, high efficiency and bounded influence modified GM estimator based on support vector regression
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