Robust Regression Shrinkage and Consistent Variable Selection Through the LAD-Lasso
نویسندگان
چکیده
The least absolute deviation (LAD) regression is a useful method for robust regression, and the least absolute shrinkage and selection operator (lasso) is a popular choice for shrinkage estimation and variable selection. In this article we combine these two classical ideas together to produce LAD-lasso. Compared with the LAD regression, LAD-lasso can do parameter estimation and variable selection simultaneously. Compared with the traditional lasso, LAD-lasso is resistant to heavy-tailed errors or outliers in the response. Furthermore, with easily estimated tuning parameters, the LAD-lasso estimator enjoys the same asymptotic efficiency as the unpenalized LAD estimator obtained under the true model (i.e., the oracle property). Extensive simulation studies demonstrate satisfactory finite-sample performance of LAD-lasso, and a real example is analyzed for illustration purposes.
منابع مشابه
Robust Regression through the Huber’s criterion and adaptive lasso penalty
The Huber’s Criterion is a useful method for robust regression. The adaptive least absolute shrinkage and selection operator (lasso) is a popular technique for simultaneous estimation and variable selection. The adaptive weights in the adaptive lasso allow to have the oracle properties. In this paper we propose to combine the Huber’s criterion and adaptive penalty as lasso. This regression tech...
متن کاملAsymptotic Analysis of High-dimensional Lad Regression with Lasso
The Lasso is an attractive approach to variable selection in sparse, highdimensional regression models. Much work has been done to study the selection and estimation properties of the Lasso in the context of least squares regression. However, the least squares based method is sensitive to outliers. An alternative to the least squares method is the least absolute deviations (LAD) method which is...
متن کاملRobust Variable Selection in Functional Linear Models
We consider the problem of selecting functional variables using the L1 regularization in a functional linear regression model with a scalar response and functional predictors in the presence of outliers. Since the LASSO is a special case of the penalized least squares regression with L1-penalty function it suffers from the heavy-tailed errors and/or outliers in data. Recently, the LAD regressio...
متن کاملWeighted Least Absolute Deviation Lasso Estimator
The linear absolute shrinkage and selection operator(Lasso) method improves the low prediction accuracy and poor interpretation of the ordinary least squares(OLS) estimate through the use of L1 regularization on the regression coefficients. However, the Lasso is not robust to outliers, because the Lasso method minimizes the sum of squared residual errors. Even though the least absolute deviatio...
متن کاملImproved Variable Selection with Forward - Lasso Adaptive Shrinkage
Recently, considerable interest has focused on variable selection methods in regression situations where the number of predictors, p, is large relative to the number of observations, n. Two commonly applied variable selection approaches are the Lasso, which computes highly shrunk regression coefficients, and Forward Selection, which uses no shrinkage. We propose a new approach, “Forward-Lasso A...
متن کامل