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Robust model selection with flexible trimming

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The forward search provides data-driven flexible trimming of a C-p statistic for the choice of regression models that reveals the effect of outliers on model selection. An informed robust model choice follows. Even in small samples, the statistic has a null distribution indistinguishable from an F distribution. Limits on acceptable values of the C-p statistic follow. Two examples of widely differing size are discussed. A powerful graphical tool is the generalized candlestick plot, which summarizes the information on all forward searches and on the choice of models. A comparison is made with the use of M-estimation in robust model choice.

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en

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http://eprints.lse.ac.uk/29437/

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