ROBUST VARIABLE SELECTION FOR SINGLE INDEX SUPPORT VECTOR REGRESSION MODEL

Authors

  • Waleed Dhhan Babylon Municipalities, Ministry of Municipalities and PublicWorks, Babylon.
  • Thaera Najm Abdulah Department of Statistics, College of Administration and Economics, Mustansiriyah University.

DOI:

https://doi.org/10.23851/mjs.v30i1.388

Keywords:

Single-index model, Support vector regression, Variable selection, High-dimensional, Outliers.

Abstract

The single index support vector regression model (SI-SVR) is a useful regression technique used to alleviate the problem of high-dimensionality. In this paper, we propose a robust variable selection technique for the SI-SVR model by using vital method to identify and minimize the effects of outliers in the data set. The effectiveness of the proposed robust variable selection of the SI-SVR model is explored by using various simulation examples. Furthermore, the suggested method is tested by analyzing a real data set which highlights the utility of the proposed methodology.

References

Dhhan,W., Rana, S. and H. Midi (2015), Non-sparse ?-Insensitive Support Vector Regression for Outlier Detection

CrossRef

Journal of Applied Statistics, 42(8) (2015), 1723-1739;

CrossRef

Dhhan, W., Rana, S. Alshaybawee, T. and H. Midi "Elastic Net For Single Index Support Vector Regression Model." Economic Computation & Economic Cybernetics Studies & Research 51.2 (2017).‏

Guyon, I. & Elisseeff, A. (2003), An Introduction to Variable and Feature Selection. The Journal of Machine Learning Research, 3, 1157-1182;

Horowitz, J. L. (2009), Semiparametric and Nonparametric Methods in Econometrics. Springer;

CrossRef

Hu, Y., Gramacy, R. B. & Lian, H. (2013), Bayesian Quantile Regression for Single-index Models. Statistics and Computing, 23(4), 437-454;

CrossRef

Ichimura, H. (1993), Semiparametric Least Squares (SLS) and Weighted SLS Estimation of Single-Index Models. Journal of Econometrics, 58(1), 71-120;

CrossRef

Peng, H. & Huang, T. (2011), Penalized Least Squares for Single Index Models. Journal of Statistical Planning and Inference, 141(4), 1362-1379;

CrossRef

Wu, T. Z., Yu, K. & Yu, Y. (2010), Single-index Quantile Regression. Journal of Multivariate Analysis, 101(7), 1607-1621;

CrossRef

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Published

2019-08-21

How to Cite

[1]
W. Dhhan and T. N. Abdulah, “ROBUST VARIABLE SELECTION FOR SINGLE INDEX SUPPORT VECTOR REGRESSION MODEL”, MJS, vol. 30, no. 1, pp. 169–173, Aug. 2019.

Issue

Section

Mathematics