SMS scnews item created by John Ormerod at Sun 9 Jul 2017 1323
Type: Seminar
Distribution: World
Expiry: 13 Jul 2017
Calendar1: 13 Jul 2017 1400-1500
CalLoc1: AGR Carslaw 829
CalTitle1: Robust estimation and variable selection in linear regression
Auth: (jormerod) in SMS-WASM

Statistics Seminar: Irene Gijbels (KU Leuven) -- Robust estimation and variable selection in linear regression

* Talk is on Thursday, not the usual Friday.
* Talk in the AGR, not Carslaw 173


In this talk the interest is in robust procedures to select variables in a 
multiple linear regression modeling context. Throughout the talk the focus 
is on how to adapt the non-negative garrote selection method to get to a 
robust variable selection method. We establish estimation and variable 
selection consistency properties of the developed method, and discuss 
robustness properties such as breakdown point and influence function. In a 
second part of the talk the focus is on heteroscedastic linear regression 
models, in which one also wants to select the variables that influence the 
variance part. Methods for robust estimation and variable selection are 
discussed, and illustrations of their influence functions are provided. 
Throughout the talk examples are given to illustrate the practical use of 
the methods.

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