MODEL SELECTION VIA ROBUST VERSION OF R-SQUARED

@article{Saleh2014MODELSV,
  title={MODEL SELECTION VIA ROBUST VERSION OF R-SQUARED},
  author={S. Saleh},
  journal={Journal of Mathematics and Statistics},
  year={2014},
  volume={10},
  pages={414-420}
}
  • S. Saleh
  • Published 2014
  • Mathematics
  • Journal of Mathematics and Statistics
  • R-squared ( R 2 ) is a popular method for variable selection in lin ear regression models. R 2 based on Least Squares (LS) regression minimizes the sum of the sq uared residuals; LS is sensitive to outlier observation. Alternative criterion based on M-estimators, which is less sensitive to outlying ob servation has been proposed. In this study explicit expression for suc h criterion is obtained when the Least Trimmed Squares (LTS) estimator is used. The influence function of R 2 is also… CONTINUE READING
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