Robust linear regression with broad distributions of errors

DOI10.1016/J.PHYSA.2015.04.025MaRDI QIDQ1618579zbMATH OpenOpenAlexFDO

Authors Eugene Postnikov, Igor M. Sokolov

Publication date 13 November 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.03188

zbMATH Keywords

data processinglinear fitLévy noise

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Abstract: We consider the problem of linear fitting of noisy data in the case of broad (say $alpha$-stable) distributions of random impacts ("noise"), which can lack even the first moment. This situation, common in statistical physics of small systems, in Earth sciences, in network science or in econophysics, does not allow for application of conventional Gaussian maximum-likelihood estimators resulting in usual least-squares fits. Such fits lead to large deviations of fitted parameters from their true values due to the presence of outliers. The approaches discussed here aim onto the minimization of the width of the distribution of residua. The corresponding width of the distribution can either be defined via the interquantile distance of the corresponding distributions or via the scale parameter in its characteristic function. The methods provide the robust regression even in the case of short samples with large outliers, and are equivalent to the normal least squares fit for the Gaussian noises. Our discussion is illustrated by numerical examples.

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• scientific article; zbMATH DE number 1036041

Cites work

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Cited in

(4)

• Bobust estimation of begression und scale parameters in linear models with asymmetric error distributions
• Robust Linear Regression via $\ell_0$ Regularization
• Reconstruction of substrate's diffusion landscape by the wavelet analysis of single particle diffusion tracks
• Robust estimation in the linear model with asymmetric error distributions

Describes a project that uses

Uses Software

• plfit

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