ROBUST VARIABLE SELECTION FOR SINGLE INDEX SUPPORT VECTOR REGRESSION MODEL
Keywords:Single-index model, Support vector regression, Variable selection, High-dimensional, Outliers.
AbstractThe 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.
Dhhan,W., Rana, S. and H. Midi (2015), Non-sparse ?-Insensitive Support Vector Regression for Outlier Detection
Journal of Applied Statistics, 42(8) (2015), 1723-1739;
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;
Hu, Y., Gramacy, R. B. & Lian, H. (2013), Bayesian Quantile Regression for Single-index Models. Statistics and Computing, 23(4), 437-454;
Ichimura, H. (1993), Semiparametric Least Squares (SLS) and Weighted SLS Estimation of Single-Index Models. Journal of Econometrics, 58(1), 71-120;
Peng, H. & Huang, T. (2011), Penalized Least Squares for Single Index Models. Journal of Statistical Planning and Inference, 141(4), 1362-1379;
Wu, T. Z., Yu, K. & Yu, Y. (2010), Single-index Quantile Regression. Journal of Multivariate Analysis, 101(7), 1607-1621;
How to Cite
The journal has no restrictions for the author to hold the copyrights of his articles. The journal does not allow authors to republish the same article in other journals or conferences that is published in one of its volumes.