American Journal of Theoretical and Applied Statistics

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Robust Linear Regression Using L1-Penalized MM-Estimation for High Dimensional Data

Received: 10 March 2015    Accepted: 24 March 2015    Published: 30 March 2015
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Abstract

Large datasets, where the number of predictors p is larger than the sample sizes n, have become very popular in recent years. These datasets pose great challenges for building a linear good prediction model. In addition, when dataset contains a fraction of outliers and other contaminations, linear regression becomes a difficult problem. Therefore, we need methods that are sparse and robust at the same time. In this paper, we implemented the approach of MM estimation and proposed L1-Penalized MM-estimation (MM-Lasso). Our proposed estimator combining sparse LTS sparse estimator to penalized M-estimators to get sparse model estimation with high breakdown value and good prediction. We implemented MM-Lasso by using C programming language. Simulation study demonstrates the favorable prediction performance of MM-Lasso.

DOI 10.11648/j.ajtas.20150403.12
Published in American Journal of Theoretical and Applied Statistics (Volume 4, Issue 3, May 2015)
Page(s) 78-84
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

MM Estimate, Sparse Model, LTS Estimate, Robust Regression

References
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[7] H.Wang, G. Li, and G. Jiang, “Robust regression shrinkage and consistent variable selection through the LAD-lasso,” Journal of Business & Economic Statistics, vol. 25, pp. 347-355, 2007.
[8] G. Li, H. Peng, and L. Zhu,“Nonconcave penalized M-estimation with a diverging number of parameters,” Statitica Sinica , vol. 21, no. 1, pp. 391–419, 2013.
[9] R. A. Maronna, “Robust ridge regression for high-dimensional data,” Technometrics, vol. 53, pp. 44–53, 2011.
[10] J. A. Khan, Aelst, S. Van. and R. H. Zamar, “Robust linear model selection based on least angle regression,” Journal of the Statistical Association, vol. 102, pp. 1289–1299, 2007.
[11] P. Rousseeuw and A. Leroy, Robust regression and outlier detection. John Wiley & Sons, 1987.
[12] V. J. Yohai, “High Breakdown-point and High Efficiency Estimates for Regression,” The Annals of Statistics, vol. 15, pp. 642-65, 1987.
[13] R. Maronna, D. Martin, and V. Yohai, Robust Statistics. John Wiley & Sons, Chichester. ISBN 978-0-470-01092-1, 2006.
[14] A. E. Beaton, and J. W. Tukey, “The fitting of power series, meaning polynomials, illustrated on band-spectroscopic data,” Technometrics, vol. 16, pp. 147-185, 1974.
[15] R. A. Maronna, and V. J. Yohai, “Correcting MM Estimates for Fat Data Sets,” Computational Statistics & Data Analysis, vol. 54, pp. 3168-3173, 2010.
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[17] A. Alfons, simFrame: Simulation framework. R package version 0.5, 2012b.
[18] A. Alfons, robustHD: Robust methods for high-dimensional R pakage version 0.1.0, 2012a.
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Author Information
  • Yildiz Technical University, Department of Statistics, Istanbul, Turkey

  • Yildiz Technical University, Department of Statistics, Istanbul, Turkey

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    Kamal Darwish, Ali Hakan Buyuklu. (2015). Robust Linear Regression Using L1-Penalized MM-Estimation for High Dimensional Data. American Journal of Theoretical and Applied Statistics, 4(3), 78-84. https://doi.org/10.11648/j.ajtas.20150403.12

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    Kamal Darwish; Ali Hakan Buyuklu. Robust Linear Regression Using L1-Penalized MM-Estimation for High Dimensional Data. Am. J. Theor. Appl. Stat. 2015, 4(3), 78-84. doi: 10.11648/j.ajtas.20150403.12

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    AMA Style

    Kamal Darwish, Ali Hakan Buyuklu. Robust Linear Regression Using L1-Penalized MM-Estimation for High Dimensional Data. Am J Theor Appl Stat. 2015;4(3):78-84. doi: 10.11648/j.ajtas.20150403.12

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  • @article{10.11648/j.ajtas.20150403.12,
      author = {Kamal Darwish and Ali Hakan Buyuklu},
      title = {Robust Linear Regression Using L1-Penalized MM-Estimation for High Dimensional Data},
      journal = {American Journal of Theoretical and Applied Statistics},
      volume = {4},
      number = {3},
      pages = {78-84},
      doi = {10.11648/j.ajtas.20150403.12},
      url = {https://doi.org/10.11648/j.ajtas.20150403.12},
      eprint = {https://download.sciencepg.com/pdf/10.11648.j.ajtas.20150403.12},
      abstract = {Large datasets, where the number of predictors p is larger than the sample sizes n, have become very popular in recent years. These datasets pose great challenges for building a linear good prediction model. In addition, when dataset contains a fraction of outliers and other contaminations, linear regression becomes a difficult problem. Therefore, we need methods that are sparse and robust at the same time. In this paper, we implemented the approach of MM estimation and proposed L1-Penalized MM-estimation (MM-Lasso). Our proposed estimator combining sparse LTS sparse estimator to penalized M-estimators to get sparse model estimation with high breakdown value and good prediction. We implemented MM-Lasso by using C programming language. Simulation study demonstrates the favorable prediction performance of MM-Lasso.},
     year = {2015}
    }
    

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    T1  - Robust Linear Regression Using L1-Penalized MM-Estimation for High Dimensional Data
    AU  - Kamal Darwish
    AU  - Ali Hakan Buyuklu
    Y1  - 2015/03/30
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    JF  - American Journal of Theoretical and Applied Statistics
    JO  - American Journal of Theoretical and Applied Statistics
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    AB  - Large datasets, where the number of predictors p is larger than the sample sizes n, have become very popular in recent years. These datasets pose great challenges for building a linear good prediction model. In addition, when dataset contains a fraction of outliers and other contaminations, linear regression becomes a difficult problem. Therefore, we need methods that are sparse and robust at the same time. In this paper, we implemented the approach of MM estimation and proposed L1-Penalized MM-estimation (MM-Lasso). Our proposed estimator combining sparse LTS sparse estimator to penalized M-estimators to get sparse model estimation with high breakdown value and good prediction. We implemented MM-Lasso by using C programming language. Simulation study demonstrates the favorable prediction performance of MM-Lasso.
    VL  - 4
    IS  - 3
    ER  - 

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