Robust Variable Selection with Exponential Squared Loss.

@article{Wang2013RobustVS,
  title={Robust Variable Selection with Exponential Squared Loss.},
  author={Xueqin Wang and Yunlu Jiang and Mian Huang and Heping Zhang},
  journal={Journal of the American Statistical Association},
  year={2013},
  volume={108 502},
  pages={
          632-643
        }
}
  • Xueqin Wang, Yunlu Jiang, +1 author Heping Zhang
  • Published in
    Journal of the American…
    2013
  • Mathematics, Medicine
  • Robust variable selection procedures through penalized regression have been gaining increased attention in the literature. They can be used to perform variable selection and are expected to yield robust estimates. However, to the best of our knowledge, the robustness of those penalized regression procedures has not been well characterized. In this paper, we propose a class of penalized robust regression estimators based on exponential squared loss. The motivation for this new procedure is that… CONTINUE READING

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