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Agostinelli, Claudio (2000) Robust stepwise regression. [Working Paper] WORKING PAPER SERIES, 10/2000 . , PADOVA (Inedito)

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Abstract (english)

The selection of an appropriate sub-set of explanatory variables to use in a linear regression model is an important aspect of a statistical analysis. Classical stepwise regression could be invalidated by a few outling observations. We introduce a robust F-test in order to perform a stepwise regression that is robust against the presence of outliers. The introduced methodology is asymptotically equivalent to the classical one when no contamination is present. Some examples and simulation are presented.

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EPrint type:Working Paper
Anno di Pubblicazione:08 September 2000
Key Words:F-test, Robust backward, Robust forward, Robust stepwise, Weighted F-test, Weighted likelihood.
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7581
Depositato il:19 Mar 2015 14:43
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