ROBUST VARIABLE SELECTION FOR SINGLE INDEX SUPPORT VECTOR REGRESSION MODEL
DOI:
https://doi.org/10.23851/mjs.v30i1.388Keywords:
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.Metrics
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