The Accuracy of Elemental Set Approximations for Regression
作者:
DouglasM. Hawkins,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1993)
卷期:
Volume 88,
issue 422
页码: 580-589
ISSN:0162-1459
年代: 1993
DOI:10.1080/01621459.1993.10476310
出版商: Taylor & Francis Group
关键词: Diagnostics;High breakdown;Outliers;Robust estimation
数据来源: Taylor
摘要:
The elemental set algorithm involves performing many fits to a data set, each fit made to a subsample of size just large enough to estimate the parameters in the model. Elemental sets have been proposed as a computational device to approximate estimators in the areas of high breakdown regression and multivariate location/scale estimation, where exact optimization of the criterion function is computationally intractable. Although elemental set algorithms are used widely and for a variety of problems, the quality of the approximation they give has not been studied. This article shows that they provide excellent approximations for the least median of squares, least trimmed squares, and ordinary least squares criteria. It is suggested that the approach likely will be equally effective in the other problem areas in which exact optimization of a criterion is difficult or impossible.
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